Well, the one issue with Cap in Endgame, is that we still don't have particularly good answer for what happened there. We see "Old Cap" at the end of Endgame, when he gives the Shield to Sam, but it's never properly explained if he lived his life and then used the Quantum Tech to come back to that point in time, from an alternate timeline, or if it is supposed to be implied that he did live out his life in the same Time Line the rest of the movie takes place in, didn't use the Quantum Tech to travel back, and he just knew to be at that place at that time.
While there are some potential issues with either scenario, I think it is all made kind of moot by the fact that the TVA doesn't really exist to keep a truly Pure Sacred Timeline. The revelation seems to be that the whole agency is just a tool of HWR to prevent the multi-verse opening up to the point that it would allow other Kangs to exist. My interpretations of "Nexus Events" changed from any event that could cause another timeline, to any event that could potentially allow enough of change to cause another Kang to come into being
It's entirely possible that Steve's Trip back to the past to live out a life with Peggy, then come back to reunite with Sam and pass on the shield was either part of HWR's plan, and the TVA couldn't very well Prune him while he is another timeline, if it is one, because he has to come back to give Sam the Shield, and then maybe they pruned it after he left. It could also be that the life Steve lived with Peggy was lived out in such a way that it did not cause a Nexus event that would create a TimeLine that allowed another Kang to come into being.
That's just kind of the inherent problem with Time Travel stories. There are always these issues. I can hand wave this one off with the logic I've given, but totally understand and respect if you can't. I've just grown to accept that Time Travel is always going to be a bit "Loosey Goosey" and it's best not to think to hard about it or you hurt your head.
