Just like raising a child, you want them to be confident beings, it's the same with your parrot - you NEED to teach bravery to instill confidence. A confident parrot is a much healthier parrot in body and mind.
When we bring these animals into our homes to live, there is so much that is crazy to ask them to be OK with: running, screaming children, packed parties, loud music, constant TV noise, things dropping, people arguing, other pets fighting, you name it... it's chaos sometimes and that part is unavoidable. How about those fireworks on the 4th? How about the noisy neighbor who likes to have big parties and fly his drone by your window?
The more adaptable your bird learns to be, the better for his anxiety level! If every little thing is a stressor to your bird, it's going to lead to some pretty undesirable behaviors like screaming, even feather plucking and biting out of fear or mistrust.
With all that said, this video shows you HOW to go about teaching bravery to your bird by taking it in small steps (baby steps, if you will) by introducing ONE DAY THING EVERY DAY.
To be clear, you are looking for signs of SLIGHT discomfort, then you are teaching your bird to overcome that so that you do not see those discomforts with the objects anymore. You can use this technique with noise as well - in fact, I started off playing instrumental music when caring for my birds every morning then moved onto incorporating singer/songwriter/acoustic and moved on from there. Now my playlist has a little of everything and my birds can handle it all. It's a great tool for desensitizing to noise/sounds which is just as essential.