That's blood feather and it could be serious if left untreated. If it is still bleeding it needs to be taken out. You can do it, but if you never have I don't think you should before you are taught how. If you have an Avian vet call them and tell them that Bennie has a blood feather and they will likely get you in very soon. Otherwise call some pet stores. It's not likely you will find one to remove it, but the one I got Evie from does. As a last resort pack it with corn starch. Use your judgment. Milton had one that was too deep to take out and it healed, but it wasn't constantly bleeding. It would bleed very little and only once in a while. Remember, Bennie is tiny and what seems like a little blood could be a lot to him. Don't worry he'll be fine.