This is a Powder Down Feather and is what produces a lot
of the dust from Cockatoos.
These "puff balls" are much larger than shown here and are perfectly symmetrical spheres
when floating. It's the sheath-like covering of these puff balls that breaks off (to allow the
feathers to emerge) that looks like talcum powder and is almost impossible to control.
Bathing the bird is little help and can actually do damage if done excessively.