The Shopkeeper often talked to Captain while observing Sarah Jane, Clyde and Rani through his crystal ball during their quest though time. When Sarah Jane and the others returned, it was suggested that Captain was the one who had arranged for them to go on their quest, implying that he was more than an average parrot. (SJA: Lost in Time)
Captain was seen on his perch with the Shopkeeper when he appeared in Sarah Jane's attic to confirm that it was he who left Sky on her doorstep. It is revealed by the Shopkeeper that the Captain is incharge of their duties, making sure things that can't be left to chance are taken care of, making them kinda of taking a more direct approach to correcting history, unlike the Doctor. (SJA: Sky)
