Glad to hear the redness has gone! Bet he's a happier little fella
Scenario 1: Let's assume that the xenex has worked and that the underlying problems is fully addressed (ie, assuming best possible scenario). In that case, it makes sense that he'd still be losing some quills even this far out. You figure that his quills were damaged to a greater or lesser extent before the treatment kicked in. Those that were heavily damaged have already fallen out. Those that were only a little damaged are falling out now.
Keep him on fleece that's cleaned using detergent that's free of scents & dyes to help eliminate the possibility that anything funny is coming from his bedding.
Take a look at the humidity in his room. I've found relatively inexpensive hygrometers at pet stores right next to the thermometers. They'll measure the humidity inside his cage. I have one in my hedgie's cage and one outside. Once the ceramic heat emitters kicked in (weather becoming cooler; air is drier; CHE's are on more often), I saw that the one in the open space in the hedgie room was around 50, but the one in the cage was only around 20. So, really, take a look at the humidity INSIDE the cage and address as needed. You may find that a warm mist humidifer helps a lot.
Other things you can do are dietary: add a drop or two of the flaxseed oil to his food in addition to on his body. There's a neat thing called "Sunshine Factor" that also works well and most hedgies seem to loooooove how it tastes. I believe it was initially developed for birds, so check the bird-supply catalogs for it if you cannot find it. A drawback with the dietary supplements is that they take awhile to work. Like most people, you'll probably use them for a couple weeks and think "this isn't doing anything; this is stupid" and figure you may as well stop it... but a week or two more of continued use after that, you'll start seeing changes to skin and quills.
I'd only bathe him when absolutely necessary - like if he's anointed and made a mess of himself or has poop in his quills. Of course, always use oatmeal with any bath to help reduce dryness.
Scenario 2: The xenex hasn't fully worked. You'll know this is true if you start seeing even more quills fall out, his skin gets worse (red, flakes that peel off in small sheets, abrasions), his quill coat becomes more thing, or he develops bald patches where quills should be. Or you'll see him becoming less active, more grumpy, etc... If that's the case, it's back to the vet!