Good idea to visit the vet.
And maybe it just takes time... sometimes it can take weeks, months, each hedgehog is so different. Some don't indeed, but don't give up yet, you've only had him for 3 weeks.
About the treats, mine doesn't like that much either. Have you tried apple or strawberry? So far the only thing that succeeded here. He won't eat it when he's with me (then he's far too busy with exploring) but if I leave it in his cage, he'll eat it. And maybe he likes cat/dog treats or soft cat food?
I have to say he looks gorgeous, pink nose