The Sunderland striker would have been included in Gus Poyet's plans for the club's first Wembley appearance since 1992 against Manchester City, but the 20-year-old did not hesitate in choosing a debut for Leeds at QPR on Saturday instead.
"I hope I would have been involved," said Wickham. "I helped the team get through to the final so I would have liked to have been there, but first things first, I want to play football and if I'm not going to play - regardless of whether it's at Wembley or not - I want to play. I said to my agent 'get me to Leeds.'
"I told Sunderland that I want to play games and I need to play games.
"I went back, I was on the bench and playing little bits here and there and that's not what I want to do.
"I want to play football, it's what I'm paid to do. The call came in from the gaffer and from then I said 'sort me out, get me there'. I just need to get focused now."
Wickham did not make the impact expected of him at the Stadium of Light when he moved from Ipswich for £8.1million in June 2011 and in February last year spent a month on loan at Sheffield Wednesday.
It was during a second loan spell recently at Hillsborough though when the 6ft 3ins forward caught the eye again.
He scored eight goals in 11 appearances for Wednesday before being recalled early by Poyet, including a goal in their 6-0 thrashing of Leeds in January.
"Football's a small world and obviously you're going to lose a few friends. But I'm thankful to Sheffield for what they did," he said.
"They gave me the opportunity when maybe no-one else would and I did well.
"I made a lot of friends, but now I'm here at Leeds and I need to concentrate on pushing us up the table.
"It's a massive club, it's got a huge fanbase. I played against Leeds for Sheffield and you could tell the potential in the team.
"They're a Premier League club and that's where they need to be. I've come in and hopefully we can make the push for the play-offs."