Its strange that a bird would not eat millet because that's the treat I used when training my birds! Maybe cockatiels and budgies have different choices, but from my knowledge, I think budgies are supposed to love millet too! Maybe they just aren't used to it. Besides seeds and seed treats, your birds need to eat veggies, whole grain bread, and other foods for good health. It will be best to introduce your birds to veggies once they are tame, because it is easier to teach them when they gain trust in you. I hope your birds will soon get used to the millet and treats and start munching. I would recommend buying your birds cuttlebone and vitamin bars from the pet store. They will need that for calcium and vitamin supplement, that they won't get enough from seeds. Good luck!