I believe the quote you're referring to is from the Pierre Berton interview. How does it not say what it says?

Yes, the OAAU was created in '64. I haven't found him talking about it any later than that summer. If you have a link to anything later than that, please share it.

The quote about him no longer being comfortable with the term "black nationalism" is from later than the creation of the OAAU. Obviously, his thoughts on the matter were continuing to evolve.

I don't know what you mean by identifying as a "Black man". He understood that race was socially defined. Have another quote from soon after he went to Mecca:

"That is when I first began to reappraise the “white man.” It was when I first began to perceive that “white man,” as commonly used, means complexion only secondarily; primarily it described attitudes and actions. In America,”white man” meant specific attitudes and actions toward the black man, and toward all other non-white men. But in the Muslim world, I had seen that men with white complexions were more genuinely brotherly than anyone else had ever been. That morning was the start of a radical alteration in my whole outlook about “white” men." —Malcolm X