Also Cap worked quite closely with SHIELD for a long time in the comics. Mostly fighting guys like A.I.M., Hydra, The Secret Empire and various other subversive organizations. It makes a great deal of sense for SHIELD to be heavily involved in the Captain America movies.
In another area, am I the only one who it a bit leary about hooking up with the niece or grand-daughter of his former love? It worked in the comics because Cap and Peggy were only friends and colleagues. But in the movie there was a romanitic connection. That leaves something of a squick factor.
Maybe it would be best to side step the whole issue and have him involved with someone else or else keep him with Peggy. They could show him giving her a transfusion in a flashback scene. Thus resulting in a 90 year old woman who looks like she's 30.