I have finished this quest and have captured others since then. It still says I need to learn how to capture pets before I can expand my party. Did I miss something or is this a glitch?

Hi there, the capture a quest is actually a scripted event. If you keep exploring in Trollsblight Cavern you should come across the event.

Also, once you complete the quest, you need to open the Satchel from your inventory to progress the tutorial and unlock the party expansion.

Thanks.