I obviously can't say what his problem is, but I would say that the new feather growth is a good sign, at the very least.Aya, my green cheek looks exactly like that and has for almost a year. The pet store that I adopted him from said he moulted from stress. He is about 2 years old now, and is regrowing his feathers, but he always loses them again. Im not sure what is happening, but he acts just the same, so its okay with me!
However, by losing the feathers, do you mean that the new ones fall out, or that old ones do? If it's the old ones, then I guess things are going well, but I'd be concerned if he's moulting new feathers. Are there any signs of blood at the ends of the shed feathers, or have they been chewed or 'chopped' in half? If that's the case, then I'd be worried-- the former is a sign of plucking, which is very bad, while the latter is called 'barbering' and is what Lawrence did, hence her grey, downy breast/belly/sides and ragged wing feathers-- this is also bad, but generally not quite to the extent of plucking (Lawrence is particularly bad in this regard, as she has ruined her wing feathers as well as most of her body feathers).
Now, I'm not trying to cause you to panic or anything, but I do think that it would be a good idea to monitor your little buddy for a few days to work out what's going on, and then scheduling for an avian vet appointment to make sure that something isn't wrong (probably a good idea to do this soon anyway, as his condition at the pet shop doesn't sound too great if he was that stressed. Birds are very good at hiding illnessess, so it's best to be safe than sorry at this point)
Hope this helps in some way, and also, what's your little fella's name?