When you first contacted me I thought you planned to breed them so gave you directions to set up for breeding. However, I see now that you are more interested in just having a friend for Pico.
Yes, birds can be very afraid of another bird. Even one of its own species. When I introduced my Nape Maggie to my Nape TJ and Blue Front Pepper, TJ
took one look at Maggie, ran to his cage, climbed inside and pulled the door shut behind him! They later became very good friends but when both became sexually mature, the friendship ended. They had so much fun as young birds and would wrestle on the floor like two puppies. They would pass toys to each other through the bars of their cages. It was sad to see this friendship end.
My Napes Maggie and Sidney have hated each other for over 15 years. I cannot let them out of their cages at the same time. Once when Maggie got out of his cage he flew over to Sidney's cage. Sidney promptly removed the lower portion of Maggie's upper beak. It was touch and go for awhile as to whether it would grow back, but it did.
What this boils down to is this: Your two birds may never want to be in the same cage together. They may never want to be friends. Take it slow as you have been doing by putting their cages near each other. If Pico is a male and even slightly hormonal he may not be friendly with this bird. If he is bonded with her and he is hormonal and she is hormonal, they will be OK. If only one is hormonal, there could be problems. Some males get skiddish and more fearful when hormonal. My Nape Maggie is this way. He is generally a pretty bold bird, but when he is hormonal he becomes skiddish.
I would not put them next to each other out of their cages quite yet, but then I always take my time with my birds. Amazons have a long life span and you have plenty of time to help them accept things. When they start going to the sides of their cages so they can be closer to each other, it is a good sign that you might be able to put them on a large play gym together at different places. Let them decide how close to get. Be ready with a towel or net to separate them in case they decide to have a show down.
I have three birds that can be out at the same time. Maggie can go out with the other three but he cannot go out if Sidney is not in his cage. That means I have to take them out in shifts and always be in the room with them when they are out of their cages.
Birds can and do hurt each other. In the wild, they can always fly away and escape another bird. In a home, they do not have that opportunity. Also in the wild, they can take their time in getting to know another bird. They grow up with birds of their species all around them and are taught very early by older birds how to behave in the flock. Domestic birds or wild-captures that were babies and raised by humans never learn this and can have problems adjusting to other birds.
Joanie Doss
The Amazing Amazons
http://www.parrothouse.com/jdoss.html