First, before I explain the title, I have to explain some things.
Chico is a very, very timid bird and she's more shy than bold. I dont know yet, but i'm pretty sure it is molting season for Chico. There are no pin feathers right now but I am sure she's molting. I have had her for a month and I am teaching her to step up currently, but I have an issue. It does not involve her health in any way.

When she steps up, she only puts one foot on my finger. Scouring the forums, this behaviour doesn't seem to be too common. Her foot is not injured and she has all her 4 beautiful talons. She is mobile and quickly gets around her cage. She trusts me enough to eat out of my hand and for me to put my hand very close to her. There hasn't been any negative reinforcement in training since I always make sure to wrap up the bonding sessions with millet. It seems that I need to keep training for her to truly trust me.

I don't want to talk about this, but I feel comfortable, or somewhat comfortable, talking about it here. Two times she has flown out of the cage with me keeping an eye on her, and instinctively I try to grab her. I think that is where the issue starts for her, including her being handled first time around and my experiences with her. I have never actually grabbed her because it is bad reinforcement, but I think that she doesn't trust my hand because of her early experiences and the two times she has flown out of her cage.

The training is going good, and any advice is heavily appreciated. I may have wrote too much, my apologies for that. Have a nice day all!

-Davey and Chico

I think Chico needs more time to trust you, not so much more training. I find that I make more progress when I push less. I'll sometimes make a declaration to not try anything past what the budgie is comfortable with for a least a week. A month is not very long for Chico to have been with you.

Thank you for telling me this, and I totally agree. The problem is that I don't think Chico knows how to step up, etc.
I will keep this in mind while bonding with Chico, thank you very much! It may indeed be the problem with Chico and why she doesn't get certain things because she doesn't fully trust me. I appreciate you telling me this and I will keep it in mind while bonding!

-Davey and Chico

Leah has given you excellent advice.
It's important not to rush Chico when you are working with her, just take things at her pace.

Start by resting your hand inside the cage when you talk.
Don’t make sudden moves, don’t try to touch her.
Let her get used to the idea that the hand is now in her safe place and not harming her.

After 2 weeks, begin moving your hand slowly toward Chico.
If she becomes agitated, stop moving your hand and just hold very still until she calms down.
When she's comfortable with your hand near her, you can offer her a bit of millet or a few seeds in your open palm.

Once Chico becomes comfortable with coming onto your hand on her own, then you can move forward with asking her to step up on the back of your hand or your finger using positive reinforcement.

https://www.talkbudgies.com/articles-...-training.html

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Yes, I have done these steps! She is completely comfortable with my hand close to her but she is strangely timid about anything else. I appreciate you telling me this in case I may need to back up. I agree with the advice to newbies, but I myself have done it. Thank you so much for telling me this, again! <3

-Davey and Chico

I've found that using the back of my hand to budgies to step up works much better than using a finger.

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I'll try using this technique, thanks!
I've never heard of it before, ought to do it sometime to see if it works. Im sure it does. Thanks again for sharing your insight!

-Davey and Chico

Chico sounds like she's progressing well considering that a month is isn't a long time for true bonding. I'd suggest as others, to move your hand slowly and back off if she shows fear.
Being "caught" is likely your own correct assessment. She'd probably step up with both legs by just slight pressing up against her breast when she uses one leg. Additionally I'd
maybe not let her out for a few weeks and let her decide when she wants to come out, and by that time you might be able to get her back into her cage with your finger.
Some birds that are hand shy when out and not returning, are comfortable by using a long
wooden dowel SLOWLY stepping onto this as a perch and slowly moving her back to the cage door. Just take your time.

Everything you have said is very well-informed and educational for me personally, but i'd like to point out some things.
I have pushed her breast when she stepped up with one finger, but it seems that she finds this a bit uncomfortable as she scoots away. I'm sure she doesn't trust me enough to put her full body weight on my hand, vise versa.
The two times she has flown out was completely her flying away, maybe because there was noise and she wanted to go there because she was getting rambunctious and such. It was my mistake for putting on sound though.
Currently, I am trying to keep her as comfortable as I can by only hand-feeding and not progressing.
I have used a dowel for her to step up when she has escaped, so it seems like she much prefers that over a hand. Thank you, even though the escapes were past events.
Thank you for all you had to say, i'll take it into account and i'll be sure to tread lightly with her!

-Davey and Chico

When you say only handfeeding, is there still food available to her in her cage?