Yeah my bosun always hollers at me "We got company captain" -or- "I see a pendant" and I think Sh--, now what?
But no you can't sail until you've either wiped out the enemy ( or he wipes you out, then it doesn't matter ) or maybe you are far enough ahead of the enemy that you may be given the "Sea" icon and you might be able to "Sail away". Sometimes if you do that your other ships ( if you have any? ) will not follow you and are never heard from again.
Just save,save and save again or your gone,gone and gone again. lol
But life ain't a bowl of cherries and neither is this game so build up your ships and FIGHT.
Those pesky pirates get on my case more than any other so I try to watch the wind arrow and outrun them, doesn't always work though. lol
Always remember to carry PLENTY of food in case you have to sail the other way with the wind if your trying to outrun the enemy otherwise your crew/crews will starve and die slowing down your ship and then you have no one to fight the enemy.