For now it seems they only go to you for food and while they feel comfortable with you when they are eating their millet, you need to strengthen the bond with them.
I hardly use any food when training my birds, even recent arrivals.
I mostly use my voice, I praise them a lot when they are responding well to training and use my words in a very positive and encouraging way.
By reading the budgies body language I'm able to tell when I can go further in the bonding process, I would very gently use one of my fingers to give little beak rubs to them, they really love this. When they are accepting of our acts of affection towards them, they will be more willing to return the favour by preening us. Of course to reach this stage, they must have a whole lot of trust in us.
Also not all budgies will allow to be petted and wouldn't want to have that close of a bond with us that would want to make them preen us, especially when they have a same species buddy they can come to for all their preening needs. It's all a matter of personality and temperament.
All of my budgies have partners and I have a few that are very closely bonded to me and would willingly want to preen me while I have others that aren't that fond of being petted nor willing to preen me, but would willingly step up to my finger whenever I asked them to. And this is all regardless of gender, I am closely bonded with both male and female budgies and also have other budgies who are naturally more shy and not that interested in forming a closer bond with me.
And I love them all, regardless!