Acting normal when it's feeding time is a good sign. I had one that would come up to the top and look at the food, then flutter to the bottom and start gasping for air. I was worried, so I tried putting shrimp in. That little bugger shot up to the top of the tank and gulped that shrimp down in no time.
It was totally a spoiled issue.
I have also herd of some oscars taking a while to warm up to people.
Other than the constant sulking, are they showing any other signs of being sick or anything?
Is there a chance that something could be spooking them?