Hi there and welcome
I agree with Deborah regarding training and taming
I think that you should also try a couple of times a day to just get them used to your hand without millet, so they learn to recognize you as a friend, not just for food. I think it's interesting that the more outgoing one calls for you when you leave, I think it's possible he's flock calling as he's begun to see you as family
By the way, it's not to early to tell the gender of your budgies! Young males have pink or purple smooth ceres, sort of waxy looking, and young females have chalky white and pale blue ceres.
You can post a picture in the "Sexing Budgies" subforums and our experts will be happy to tell you their gender! Close up, in focus, no flash pictures are best.
It sounds like both will be very good friends to you and each other, it's a good sign the more skittish one comes to eat millet after the other one has started, I'm sure he'll warm up once he has a role model
Hope to see pictures of your cuties and it's wonderful to have you on the forums. If you have any questions, please be sure to ask as we'd love to help!