The First Avenger tries to break it to him gently, putting him in a period recovery room with a Brooklyn Dodgers game on the radio. But he susses out that the game is from well before his last memory. He was even at Ebbets Field for it and recognizes it as being from May of 1941, which is an underrated feat of super-memory. Suspicious, he breaks out of the soundstage and the facility, running through the streets of New York City until he's confronted with the truth by Nick Fury and a cadre of S.H.I.E.L.D. agents. "I had a date," he explains to Fury, compressing all his confusion and frustration into a single point: how much he cares for Peggy.
In a way, the movie's time jump is its final sacrifice. It spent its whole runtime building up this 1940's world, Steve Rogers' world, and then the end requires it to all be swept away. Characters like Bucky (Sebastian Stan) and the Red Skull would be brought forward into new roles, but for years only audiences would know what Steve's life might have been like had he followed Rhodey's advice and jumped, getting hints of what he left behind, and falling in love with Peggy a little bit themselves, via a couple of seasons of the series Agent Carter.
That changes in Endgame. After years of fighting evil, after years on the run, after seeing his friend Tony Stark make the ultimate sacrifice, Captain sees a way to get back some of what he gave up. He was going make it back to Peggy for that dance, whatever it took.
