The collection of bubbles at the surface of the water that he makes is called a bubble nest. They make these in the wild, usually to prepare to mate or to claim their territory. It is perfectly normal and since he made one, he is probably comfortable in his new home.
Also, I agree, try feeding him betta pellets. You can ask the store you bought him from what they feed their bettas, too, since that's the food he's probably used to.