From your description, it seems your Rocky is coping well and with continued work he will feel increasingly comfortable in interacting more closely with you.
If you think that in the long run, Rocky will benefit from the companionship of a same species friend, then a little male budgie would be a very good choice.
At 2 years old, your Rocky is still young so you don't necessarily have to get him an adult friend.
It's perfectly fine to get a hand tamed budgie. During the quarantine time, you will be able to establish a bond with the new budgie and depending on how training goes, when it's time for the budgies to meet, you can take advantage of the trusting bond you have with your budgie in order to strengthen the bond with the least tamed budgie.
These links should be helpful if you choose to get another budgie:
Good luck with your decision!