Hmm. By the turn of the Century, McCoy doesn't seem to be a Warden any more, according to the letters he and Pietrovitch wrote to each other.
In 1889 McCoy says that Pietrovich isn't under investigation, and in 1902 he says that he isn't speaking in official capacity. But that might be Blackstaff McCoy speaking, and not Warden McCoy.
But there are absolutely no mentions of him being Captain McCoy, which I feel would be relevant.
So it seems to me McCoy laid down the cloak and picked up the staff as part of the same general event.