I don't think it sounds like you're doing anything specifically wrong in the bonding department. Keep at it...some take longer than others and occasionally there are set backs. As future reference, I'm sure you were reacting out of a quick reflex to ensure her safety to catch her quickly when she jumped from the cage. For future reference...keep a good sized square of fleece handy so that when/if she bails you can carefully toss this over her and then take hold of her through that to get her back into the cage. This way she associates it less with your hands. It slows them down long enough for you to get to them without a full on chase as well.
Treats, patience. Bonding during the day is a cuddly thing mostly for your benefit and nightly play is for their benefit to get their exercise and exploring time, but they will, when bonded, still at least keep a good eye on you for security if not all out use you as their climbing tree or touch stone of security...running up to your ear for a whisper now and then.
2nd question: I always keep an eye out for toys...and what works for some doesn't always work for others. Their little unique personalities set the pace. But, you're absolutely right...they get bored and really need that mental stimulation. Safe wheel is #1, I'm thinking you already have this taken care of. I have frequented thrift shops for toddler type toys. Barns, play houses, etc. Make sure to sanitize them when you bring them home and also make sure no old batteries have been left inside. If they have and there is corrosion leakage...pitch the toy. Pet stores occasionally have something interesting. Parrot toys often are a good choice as long as there is nothing to cause a caught nail, entrapment type situation. I never use anything with wood. I have treat balls, a treat puzzle, recently what looks like an ear of corn with husk that is woven out of corn husks...they love that and I jam little treats into the woven parts. Dollar stores are a great source of plastic bracelets, army men, etc. Straws are a big favorite, barrel full of monkeys. People make foraging baskets filling them with craft pom poms, euc leaves, straws, etc. along with hidden treats. They love to forage. The hunt for new and interesting things is part of our fun as glider parents. I usually do a complete redesign every 2 weeks and switch out certain toys every few days, especially if I find I can't take them out for a couple days for a really good play time.