I hope you can start making a friendship bond soon! It can take time, however. Ask the store if they're aware of his favorite food/treat. Is he flighted fully or lightly clipped? I assume flighted since he makes you guys chase him.
Try to start getting the most basic of bond within the cage. This means that until he is comfortably stepping up and able to stay on your hand so you can, in the future, not chase him down to cage him, he needs to stay in his cage. You must find his favorite treat for this. Millet, apples, almonds, hey even sunflower seeds if that gets his attention! If he's flighted they aren't the worst treat to give once he is exercising.
- Start by sitting at a comfortable distance. Do your own thing- read a book, browse your phone, watch shows if a TV is nearby, sit with your laptop. He can learn your presence isn't causing any harm. Once he is comfortable with that and not side eyeing you, place treats in his cage at various times- randomly throughout the day. Don't try to give them directly to him. Place in bowl. Do this until you feel you're both ready to move to the next step and this just involves getting a little closer each session at his pace. If he is comfortable? Continue! If he shows signs of anxiety, take a pace back. You will eventually be close and able to talk directly to him (make sure not to stare and avoid eye contact if he seems uncomfortable). This continues until you think you can start luring him to take a treat from your hand. You may meet a stand still at this point where he will take treats from your hands, but won't climb your hand for a while. Takes time. But you're getting there. Once he is comfortably taking treats from your hand and lingering, you can try luring him by holding treat with middle finger/thumb and placing your index as a perch- he must at least touch your finger to grab treat. Pay attention to body language. From there, once you've conquered that, you will have to get him eager to step up and can start slowly taking him out of his cage. Uncomfortable body language? Go back into cage. The pace is his choice. Listen to his feelings through his body language and you will make progress. It could take weeks or months sometimes years but persistence and patience pays off.<- I would recommend this- there are no worries about stressing him out by needing to capture him if you need to leave in a hurry. He can't injure himself by freaking out, he can learn that his cage is his safety spot.