I honestly think his reaction was normal. How are you even supposed to process it? I don't think it really hit him until a few moments later, it was just too much. It's not just that Bucky died, it's that half the universe is now gone. It's overwhelming. I don't think anyone is fully capable of even beginning to understand that level of loss. Every single living being in the universe has been affected somehow by it.
When we next see Cap, he may be deep in depression from it because he likely blames himself.
When we next see Cap, he may be deep in depression from it because he likely blames himself.