Why does your bird scream and run about his cage when you leave the room?

You must have a hand reared bird because it sees you as its flock mate & like all flocking birds when one leaves they all leave. When you leave the room your bird wants to join you, it can't, so it starts to try to locate you using its personal call.

As a human you interpret its echo locating call as a screeching. In fact it a very subtle and unique to it call. All the time it can't see you, he will use this call expecting you to answer back. Its the human equivalent of "Where are you!".

I would suggest developing a call of your own. use it whenever it uses the "Where are you call" even if you are not in the room. It may pacify the bird to let it know you have not left the house and are just round the corner.