Some birds can be suspicious of any new thing, including toys. It seems that a lot of African Greys are like this. The best thing to do is to put the toy on the floor of the cage orplaypen. When the bird starts poking at it and taking and interest, then try hanging it up. If this doesn't work, then you're pretty much out twenty dollars.
Taste is a personal thing, and birds definitely do have preferences.
Don't be upset or mad at the bird if it didn't like what you picked out. Q. One bird chews, one bird plucks. For chewers, try wood toys, if they destroy that, try an acrylic, which will last longer. Manzanita wood is really hard, too. A mild soap and warm water will usually do the trick.