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There are two kinds of birds: oil feather birds and dust feather birds. Cockatoos are dust feather birds, they have certain of their feathers that gradually disintegrate into dust, and they are extremely dusty.
Amazons are oil feather birds, so they are not dusty.
However all large pet birds can be extremely messy. Frequent cleaning, seed skirts on the cages, can all serve to keep the mess down, but expect some mess.