That's all I could find. Moses McCoy was in on the Richfield fight May 19 and the Plattsburg Raid 21 May 1863. I obtained this from Eakin and Hale's 1993 "Branded As Rebels" and Rosemary Lankford's "The Encyclopedia of Quantrill's Guerrillas" published by author in Evening Shade, AR on page 166 seems to agree with me. I am a little surprised that Rosemary didn't come in on this one. Maybe she will now. Her book should help you with your multiple questions about some of Moses' comrades, too.
Just before this on May 17 a Miss or Mrs. McCoy of Missouri City was arrested and sent to jail in St. Joseph for aiding the guerrillas with food, clothing, and shelter, for which she was unrepentitent and mouthy. This may have been Moses' wife. It sounds like she would have been hard to manage in jail, so I wonder if the Union authorities released her after a bit as more trouble than they wished to have. This last part is just a guess.
I could find nothing else on Moses McCoy thereafter, or at least during the rest of the war.
I wonder if the McCoys reunited and decided to leave for greener pastures out west at least until the war was over. They were both marked as southern troublemakers by the Federals after May 1863, so maybe the gold fields in Montana or the silver mines in Nevada beckoned. I flat don't know what became of them for the rest of the war.
That business about Moses being a Captain in southern service under Colonel Sidney D. Jackman and BG Joseph O. Shelby may be true, but that sounds a lot like Captain Arthur C. McCoy (which you will find on pp. 165-6 in Rosemary's book and p. 292 in "Branded as Rebels."). I could find nothing of a military service record for Moses McCoy, but regular Reb stuff is not my strength, and perhaps someone else could help with such a record for Moses.
I hope that helps.