Did you sink the Captains ship last? We thought killing the Captain of the Fleet would result in the same experience as killing the Captain at a Stronghold where it would clear out the remaining skeletons. However, this was not the case and we lost the loot from the Captains ship while trying to take out the last ship that spawned with it.
I could see this also being your issue if you sank the wrong one first.
EDIT: Just to be clear, I'm talking about the Captain of the entire Fleet, not just the basic ships Captain that appear on all of them.