First of all, all types of birds and especially parrots are extremely intelligent and sensitive creatures. To further explain this point, consider that some parrot species have been tested and found to possess the mental and emotional capacities of small human children. Would you place a young child in a dark box and ship them to a new location, taking several hours or even days for them to reach their destination? Probably not!
Because birds can become stressed so easily, shipping can be extremely harmful or even fatal to them. Stress can drastically lower a bird's immune response, making them far more susceptible to illness and disease than they normally would be. Not only can this mean that they could contract a number of common disorders while they are en route to you, they may also refuse to eat, which can cause rapid weight loss and the threat of death, especially in young birds. Additionally, shipping crates are not very sanitary places to be stuck in for extended periods of time. Birds are naturally very hygienic creatures, and can contract a number of infections if they are forced to be in contact with excrement and filth. Imagine having a bird shipped to you only to find upon its arrival that it has a staph infection or another sort of communicable, zoonotic disorder? Then, not only would you be responsible for caring for a sick bird, you would be putting yourself, your family, and any other pets at risk of becoming sick after being exposed to the bird's affliction.
Stress can also have other undesirable effects on a bird. Consider the fact that many pet birds, when stressed or traumatized, develop the undesirable habit of feather plucking. This is a destructive behavior that not only signals neurological damage in a pet bird, but could leave them a naked, pitiful mess if they pluck all of their feathers out. In turn, this can leave a bird exposed to the elements and once again, more susceptible to illness and disease. While many birds can rehabilitated from their feather plucking habits, sometimes the mental and emotional damage is so severe that they never fully recover, and pluck their feathers for the rest of their lives.
A final reason for not shipping a bird is because during the shipping process, the bird could be exposed to any number of factors that could take a toll on his or her health, aside from illness and stress -- these can include exposure to toxins, hot and cold temperature extremes, or even physical damage in the event of an accident en route. While there are shipping services that will ship live animals, it is unlikely that their employees are trained to respond to the specialized needs of a bird, which can make things even more dangerous if something goes wrong.
In conclusion, the best thing you can do if you are looking at adopting a bird is either pick the bird up yourself so that you can monitor your new feathered friend and attend to his or her needs while you travel back home, or locate a bird that is in close proximity to you. It is normally fairly easy to locate a local bird breeder, and much easier to transport a bird from a few towns over rather than a few states away or even further. Choosing a local bird has the added advantage of having the bird's breeder at your disposal to answer any questions you might have, and is undoubtedly the best choice for those who are new to keeping pet birds. You'll need all the help you can get while you're getting used to living with your new feathered friend!