Baby iguanas in proper habitats move around a lot, especially between the warm and cool zones, which you learned about when you did your research on how to keep these creatures as pets.
One thing I forgot to mention is that he may be scared stiff. Some iguanas get that. You can reduce it's stress by perfecting it's habitat, and placing it high on the wall, even over your head. You would need a short ladder to do the daily chores, but iguanas are genetically predisposed to feel safer in elevated positions. We've proven that over sand over in this forum.
Even though he's "not shipped from anywhere", he can still be sick. Some diseases can be transmitted from the mother to the egg. One common sickness is a gutload of gram-negative bacteria. They are considered parasites in this kind of case. Finding an exotics vet or a reptile-knowledgeable vet is important. You bring in a fresh fecal sample, and they send it to a lab that grows the gut flora. The presence of harmful bacteria and parasites are easy for them to find, and once your vet knows what is going on, can treat it easily.