Why does my parrot scream when I leave the room?

Understand that parrots will call a couple times when you leave it is normal flock behaviour.

Ensure you never enter the room while they are screaming that only teaches them you come when they scream and they never learn to be independent birds.

Reasons

you are their flock/communication, it is common for birds to make some type of noise when you leave the room. Its kind of like them saying hey im still here
nothing to do. This is probably the biggest reason why your parrot is screaming when you leave the room.
single parrots, parrots are a flock animal they dont like being alone so they could be lonely.
lack of exercise, they have excess energy to burn.
You got them excited before you left.

How to fix it

foraging toys
bird tv
let your bird out to fly before you leave
leave when they are mellow, dont talk to them in an excited tone and then leave.
If you have budgies you really should have more than one, all parrots greatly benefit from companionship of another bird, but budgies especially.