So how does this work the player uses angel's grace and it resolves and then after it resolves I go to activate sisay weatherlight captains ability but I was told I can't do that and that the player using the angels grace is going to retain priority and then they played a creature after, that doesn't have flash or any special way of entering just cast from hand is this correct and if so could someone explain why
After Angel's Grace resolves, the active player gets priority. So, they can take an action and then pass priority. You can then activate Sisay at that time. So, was the person who "retained priority" the active player? If not, then they do not get priority until the active player passes it first.
It has nothing to do with split second. The active player gets priority after ANYTHING resolves, split second or not. You do not get to activate Sisay at all before the active player gets to do something. He has to pass priority to you, and only then can you activate Sisay.
Think of it this way: In most phases and sub-phases, the game will ask each player "Do you want to do something?". It will always start with the active player (the player whose turn it is). If they answer no, the game asks the next player. However, if the active player does take an action, the process starts over. So, the game will start with the active player again. If both players answer no (pass), the game moves to the next phase/sub-phase.
I think the confusion is from Split Second. Normally, you could activate an ability "in response" to the active player's action and it would resolve before they were able to perform another (sorcery speed) action. But you were prevented from doing this by Split Second, had to wait until the spell resolved, by which time it is indeed the active player's action again.