No, they do not eat fish in the wild.
They would possibly eat them in captivity, and that's probably a better "treat" food choice than mammalian prey. Not a treat I would give (mine get roaches and the occasional waxworm as a treat).
Salmon and squid are just as likely to have parasites as sprats, mind you.
"My bum has been a bum for a very long time, but that does n't mean I have to listen to what it says."
- Terry Pratchett, Fifth Elephant