Maybe a bad decision.
The Ultimate version of Cap had some very nice and emotional scenes that reunite Rogers, then old lady Gail (his love back in the 40s) and her husband Bucky Barnes who have aged considerably and can't believe to see Steve Rogers in the flesh as a young man in his prime (especially Gail who's afraid of Steve seeing her as an old woman).
It's was a very good way to show the passage of time and what Cap has lost and could be well adapted for the movie when they delve more into the man out of time aspect with Cap. Ii sure hope they do so.. this was always a defining trait with Cap to show his old fashioned ways sometimes to remind us that not everything from ages past is useless or doesn't have its place in modern times.
Millar's story didn't involve Steve hooking up with Gail's grandniece/granddaughter/whatever, so I think that's rather different. If you're going to have Steve being romantically interested in Sharon, best to have Peggy quietly passed away beforehand.
Granted, that was technically the case in the 616 comics, but there were a bunch of differences there: storytelling with different (and a lot less concerned with implications) in the 1960s, we met Sharon first there, and Peggy really wasn't an important character. In a movie, having introduced Peggy first and established their lost romance as as a big tragedy, I don't think that would come across very well.
Though, given Millar's storytelling tendencies, I'm sure some gleefully perverse version that story crossed his mind at some point.