Your setup looks very good. It sounds like you're doing everything properly. Perhaps hold off on the baths as that may cause more stress than it's worth, at least at the moment. He is very alert and active which is a great sign. I'd bet he'll just dig into the roaches one day getting really excited about them. Keep offering them the way you're doing and just be patient with him. He'll eat (a TON) when he's ready. He also looks like he's a good weight and filled in well. It's still a good idea to get a kitchen scale so you can keep track of his weight/progress. If you have recordings at least every few days then you can watch trends with his weight which will be an important health indicator for his whole life.