This is something I've been trying to get a video of for years, and I was so happy that I was finally able to do so!
I have known several macaws who have done this, but not any other species of parrot. That does not mean other types of parrots don't do it -- only that I haven't seen them!
This is a way that Rocky begs when he's in his cage. It is just so adorable!
I had come home after work and knew Thomas was on his way home. We were heading straight out to the rescue so he could groom the macaws with overgrown beaks, so I didn't let any of the parrots out, as they'd only have to go right back inside their cages. Rocky was a bit displeased with this and tried to use his cuteness to get him out! (It worked; he got out for a few minutes).