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Looks like a feather cyst to me too. Inside there's just a feather but it can get infected, so I recommend a vet visit. There should be no need for sedation, it'll be sorted in minutes.
I hope all is well, but I just have to compliment your photo! My caiques hate my camera and wouldn't allow me to take a photo like that. Your bird must have a lot of trust in you. Going to a vet for this would be a good idea.