According to my steam achievements, anyway. I just finished a playthrough (ahem, died) in which I had both Piracy and Demonology, during the playthrough I got all the piracy skills, but when I looked at my achievements afterward, I had the master of demonology one, and not the master of piracy one. It should also be noted that I did not put a single point into demonology during the game. This is also the first time I've had the demonology skill, since buying the expansion earlier this evening. In case it matters, my other skills where staves, unarmed, leylines, berserk, and tinkering. Also, this set was generated via the random button, and I was using the male avatar, if that has anything to do with anything.
Old and long-known issue with all of the DLC skills. At the risk of sounding snippy, use the search function in the future before making any bug reports.