He was present when Mirisa attempted to preach the beliefs and laws of the Imperial Cult to the warriors of Thirsk. He knew Erich the Unworthy had done something with her, but following the encounter he doesn't know where she went.
Skjoldr can give info on when he last saw Mirisa and what happened. He doesn't know where she is so he directs the Nerevarine to Erich instead.
After the attack on Thirsk, Skjoldr will be killed by the Udyrfrykte. He carries the unique Paws of the Wolf-Runner on his corpse as well as a set of Wolf Armor. His now empty position can be claimed by the Nerevarine.