I'd rather they continue Sly in Egypt. The game opens with a shadowy figure speaking highly of the cooper clan, explaining their great history and heroics... at times, the fun and adventure of being a Cooper. Time skips a few months and Sly's still in Egypt and having met with his ancient Egyptian ancestor along with his friend Clockwerk, who designs ancient robotics for the pharaoh. Sly finds out tut sly is planning a heist on the pharaoh that ends in disaster with Tut Sly unintentionally betraying Clockwerk, having left him holding the bag as he escapes with the pharaohs treasures. Clockwerk runs away and escapes through getting a hold of the time machine Murray and Bentley came in on, only for a more busted time machine to appear moments later for them to use to give chase. Clockwerk speeds through time were he sees the Cooper families history of success at his owns falling into obscurity due to being framed for something he never did. They chase him back through time seeing more of his family tree growing more and more angry as he passes by their success. He takes a detour back through prehistoric Sly's world and we see what happened then from another angle, this is were one of those secret Clockwerks from Sly 4 comes in specifically the one from the prehistoric era which was before ancient Egypt (I guess technically Clockwerk could have been some being from before the beginning of time, but I think grounding his origins in Egypt is more realistic I say while writing fan fiction about time traveling Raccoons) in that this is how Clockwerk learns of the immortality device, only he won't tell him because he has to learn it from a later Clockwerk for it to make sense and prevent a paradox.