According to the wiki, the shopkeeper would have turned up claiming to have been manipulated by the Trickster into giving Sky to Sarah Jane, which actually lends more weight to the possibility that the Captain and the Trickster are one and the same. (It's hard to know what his motive in Lost in Time would have been, but maybe he just wanted to get Sarah Jane and the gang to trust his parrot form.) And would further explain why he might want a friend of the Doctor's as a pet and not want to let the Doctor know the Corsair is alive ...