The details are still to be added.

I have just found, on consulting the back files of the Times, that Major Sholto, of Upper Norword, late of the 34th Bombay Infantry, died upon the 28th of April, 1882." "I may be very obtuse, Holmes, but I fail to see what this suggests." "No?
You surprise me.

Look at it in this way, then.

Captain Morstan disappears.

The only person in London whom he could have visited is Major Sholto.