Blue Jays are corvids, meaning they're closely related to crows, meaning they're rather intellgient, meaning they're difficult and annoying. They're the kind of bird that likes to fly out of their cage just to be able to scream in your face lounder while begging for food. They require a bit more enrichment than other birds as well, requiring toys to play with and mirrors or pictures of other blue jays to avoid imprinting. Sometimes however, they build too strong of an association with humans and food, and will continue screaming at random people after being released. We usually notice this in the parking lot outside and attempt to discourage it, but I imagine a few of them have made a good living as vagrant beggers harassing people at the nearby park.