Yes they have a preening gland but they also have the powder down. This extra feather is really interesting. It doesn't moult out when the bird moults, it continues to grow and breaks off creating the dust. Some of the Macaws don't have a preening gland and Amazons don't have one either.
It is the preening gland that also secretes Vitamin D which is produced from sunlight. It is UVA and UVB that is essential in the production of Vitamin D which allows the absorption of Calcium in the system. This is why birds require at least 15 minutes per day of natural sunlight. That is sun that has not passed through glass, plastic, perspex, fly screen or shade cloth. These all filter out the UVA and UVB and renders the sunlight basically useless.
The cockatoos have the gland but it is not used for preening the feathers and keeping them clean. I should have said in my previous post that they have one but don't use it as other birds do for preening.