You need to use "Simulate control" action under platform behavior actions for sprite.
Put it in a keypress event with action simulate control platformer jump.
I did some minor tweaking on your capx. It should start at menu now by default and goes to the correct layout when you click a character.
I put the movement behaviors into groups for each character and have it activate/deactivate the other when a different character selected to avoid nasty control bugs (like your lack of pirate control). Both characters mirror and unmirror correctly but the animations need some work .
https://drive.google.com/open?id=0Bx-ufu2WID53SWRqYmhKS1pMelE (click the download arrow in upper right corner of screen)
It is far from optimized but it "works" now. One tip though, I see both characters use the same level layout design wise. Why not simply have one layout instead of two and use a spawn sprite event for the chosen character, would be much more efficient.