Well said by Indy and by FlBoy...First of all, the advice you got is not correct, there is no set amount of time you are supposed to "leave the bird alone", that's just going to drive you and the bird crazy! Each bird is an individual, and each was raised differently and is used to a different level of interaction. Your Conure obviously comes from a family who paid a lot of attention to him, so he wants attention. No need to ignore him at all, as said, go at his pace.
It sounds like your Cockatiels/Budgies were parent-raised birds and not hand-raised, and were not hand-tamed at all. In that instance you have to spend a long time hand-taming them on a daily basis. In the case of your Conure, especially being a Blue Crown Conure, he most-likely came from a private breeder who pulled their babies from the nest-box at 2-3 weeks old and hand-raised/hand-fed them from that point onward. So he's very tame and thinks that humans are his "peeps". He wants to be with you, on you, etc.
Now don't think that you're not going to get nipped/bitten because he's a hand-tamed parrot, we all have been bitten for one reason or another by our very tame, loving, cuddly little family members. Whether due to hormones, mood-swings, you doing something that they don't like, or they are just being bratty, they will let you know when they don't like something. That being said, the more time you spend with your bird, the more you will become used to his warning signs/sounds and you'll learn when and when not to do things. It sounds to me like overall you have a very tame, friendly, loving little parrot, and I have to say I'm jealous, I have always loved the Blue Crowns, they are beautiful, goofy birds! Just take it at his pace and your pace, one day at a time, baby steps, and you'll be fine. No need to listen to any of the "advice" you've been given, as it is not good advice at all; there is no standard behavior that all birds will exhibit, nor can you approach every bird the same way. So forget everything you were told and just start from the beginning, and just figure it out as you go along, with YOUR BIRD, as he's going to have his own personality...
As far as cages go, he should have one very large cage, his "main cage", which is located in whatever room of your house is the room where the people spend most of their time when they're home, or the room where the "action" is. Usually this is the living room, family room, den, etc. Even if you're not directly interacting with your bird and you're simply watching TV, reading a book, playing a video game, etc., as long as he's in his cage in the same room and can see you, he'll be happy to entertain himself inside his cage with he toys and such. It's only when you put their main cage in a bedroom or spare room of the house, and then the bird can hear his people are home, but in another room where he can't see them, that you'll get a screaming bird.
As far as a "sleeping cage", it should be much, much smaller than his main cage, only large enough for him to comfortably open his wings fully and move around a bit, but no toys or anything inside it, just a perch, a swing (if he likes swings), and a water dish. The sleeping cage can be located in your bedroom, or whatever room you want him to sleep in.
