Sure looks like he’s sledding to me!
In any case, it’s clear that even wild animals like to do things that serve no other purpose than to have fun. Smart animals will come up with games for themselves even when it doesn’t serve any immediate needs like shelter, food or reproduction. Since most of us can’t really send our pet birds outside to play in the snow (“and don’t come back until I call you in for dinner, but stay out of the street!”), we should try to offer them as much opportunity for fun and games (e.g. “enrichment”) indoors as we can.