When I was building the play gym for Yazhi, it was always in the same room so he saw it always near his cage. Maybe in the beginning Shadow just needs to see it around to be more comfortable. Just like a bird who is scared of a new toy, best to hang it outside a while before putting inside the cage.
Yazhi flew off his a few times, but it was more of a defiant wants to get to me thing. Now he knows to stay on it because if he flies off, I ignore him on the ground for a while and sometimes just walk away. When I do pick him up I make him do step-ups a few times before I place him back. Let's say 90% of the time now, he won't fly off on his own. He will wait for me to come close to get him and get him to step-up. He has learned how to show me he wants off though.

(Hangs at an angle and bounces in a teasing "look I am going to fly" look.)
Definately give him some time. Maybe just let him get used to seeing it. Also, on purpose I made sure Yazhi's cage top doesn't sit higher than the top of my shoulder. No way he is allowed to be over eye level.

Also, the top of his cage is the furthest from me when I am in my chair. He wants to be close, so his gym is the only spot closest to me. Luckily, his high tower is that closest point to me on his gym, thus is his favorite place to hang out.