Well, now that you know the anti-mite sprays aren't working, please throw them away. These products are so dangerous to your birds, eggs and chicks that I feel it's hugely irresponsible for otherwise good pet stores to even carry them.
There are many kinds of mites, including:
Red mites feed at night and cause restlessness in the bird. If you cover the cage with a light/white colored cloth and discover ‘pepper' spots on it in the morning - you've got a red mite infestation.
Scaly Face Mange Mites are common on goldfinches, budgies and canaries. There will a powdery look to the scaly part of the bird's feet and skin. To diagnose these mites, a skin scraping is required by a vet.
Chiggers are the immature stage of a mite, usually infesting the under-wing, leg and thigh areas. You'll notice what looks like patches of scabs or rough, reddish brown skin. After a couple weeks they'll seem to heal as the chiggers continue their maturation and drop off.
The Air Sac Mite (aka: Canary Lung Mite) lives in the respiratory tract of birds. Severe infestation will cause what looks like respiratory distress or unknown illness in the bird. When a vet uses their focused flashlights to look into your birds mouth they'll check the trachea for what looks like pepper flakes (see how to check for red mites, above).
Mites usually feed on the bird at night and retreat to cage corners and seams during the day. Obviously, regular cleaning of the environment is essential to prevention and treatment. Untreated mites can cause anemia and other more serious health complications.
If ever bringing a new bird into a household, quarantine is not just a good idea for possible disease that may not be apparent immediately, but also for mites. Be very aware of the bird's nares (nostrils), legs, under-wing area and vent (under tail) for anything unusual.
When it comes to these things you're seeing, it sounds like something other than a mite and with the variety of pests out there - there's no telling what it might be, other than it's an intruder you want to get rid of.
Removing and washing the nest boxes is your best option. Getting into cracks, crevices and corners - if you can pressure wash it with a hose, even better. Letting it dry completely in the sun is further insurance.
Having a full professional vet exam with wide range of gram stains/cultures to be sure they haven't been infected is a wise investment.
Once the 'bugs' are gone, maintain the space with daily wipe downs and regular nest box checks - changing material regularly. Obviously this isn't to be done while they're on eggs or with very young chicks - but hopefully by then the infestation will be eradicated anyway.
Keep up the good work by the way - you've been very observant!
Certified Avian Specialist
Cert. Avian Specialist; Int. Assoc.Animal Behavior Consult; Pet Ind. Joint Advisory Council; author