That's normal. He's relaxed enough in his new home to begin exploring. He will go anywhere he is able to go. Climbing on his ceiling is OK, except normal screen is too tight a weave and can hold a toenail strongly enough to pull it out. 1/4 inch smooth screen, or better, a solid top, is safer. BTW red iguanas are exactly the same in their physiology and care needs as Giant Green Iguanas.
The screen top makes me think you are a beginner with iguanas. That's perfectly OK, I was a beginner when I started looking here for desperately needed advice.
Sorry I don't remember ,but if you don't know much about iguanas, read all of this long list of articles. This is the best peer-reviewed information available:
Pay special attention to heat, housing, and humidity.
It's all available in Iguanas For Dummies by Melissa Kaplan.