The beardie looks very healthy, he's just going through relocation stress. So try not to get too worried and again I'd advise to hold off on a vet visit until he's bigger and has settled in. If he hides too much you can take out the cave and just put it in at evening time. BTW, what insects did you end up getting ? Always be sure they are smaller than the space between the eyes for a baby beardie. Once a beardie is past the baby stage, in the 10-12 " range you can bend that rule a bit.
Haha thanks for the advice! I feel less stressed. We are going to figure out some insulating ideas for the tank.
AHBD:
I bought him some itty bitty crickets haha, they were very tiny. I made sure not to give him anything too big for him. I think I might have to take the cave out if he keeps hiding. I did when I fed him the crickets because he ran out to eat one and then went back to hiding. Once I removed the rock he started chasing after his food and seemed happy.