Has he been neutered|? He is doing one of two things - kneading on something soft that reminds him of his mother's stomach and leaving his scent on it so he knows where to come back to for milk. Cats knead on anything they want to make their own. Or the other thing he could be doing is expressing sexual desire - even neutered cats do this sometimes. Purring is a sign of contentment or self -awareness. He is telling the world he is there, and giving himself comfort at the same time. All this behaviour is perfectly normal, and many cats choose a favourite toy or pillow to express t heir feelings.
I have a cat who kneads and sucks on his bed. He only does it in that bed, and he does it every day. It seems to be a comfort thing for him.
Otis looks like he's getting comfort there from the pillow pet. And if the monkey doesn't mind, then I say it's alright!