Bam makes excellent points and I do agree with everything she has said. However, since you are dealing with an eleven month old buck who has only eaten pellets I’d suggest that first and foremost you should follow through with a vet appointment ASAP and check his teeth. Once you are sure that he is Able to eat hay, then its time to help him adapt to his new and improved diet. From what I understand spurs on the back molers can make chewing hay painful while not interfering in the consumption of pellets. I’m particularly concerned by your description of his mouthing the hay but not chewing it. I know once mine (the two I have now, and the one before them) have taken something in their mouths they generally want to sample it, … unless they are moving it out of their way, but that’s something else. You and He have made a lot of big changes in a short time so hopefully he is just settling in and will start sampling and munching soon, but best to be sure there isn’t any physical problems before carrying on.
Since he is familiar with and appeared to like alfalfa cubes you could get some dried alfalfa (comes in bags like hay) and mix it into the hay, … might give it a more familiar and appealing smell to him. (And since he was eating it it wouldn’t truly be yet another change, .. probably best to try for some consistency at this point.)
Sorry for your rough introduction, … I’m sure things will smooth out soon. Best of luck and please let us all know how it goes.