He certainly does seem to be enjoying that doesn't he? Making a big mess for you and everything My mom's DYH has a "box" too, and she loves it. So long as he doesn't get possessive over the box (nest), I think it's a nice thing for a bird to have his or her own little "area" to play in.
One more thing (just a word of warning) you may want to be sure he is put up when you clean the box. Lucy the DYH once ripped up a huge swath of carpet where her box normally is because my mom was washing it outside, she went to go hang out in it and found it 'missing'
I clean it of a night when he has had enough and gone for sleepy times back on his perch
He is still getting used to not spending all his time in a cage. Still scared of the world atm apart from his little safe zone in the box and on his perch :09: