I'll follow the example set already and mark for Endgame spoilers! Highlight if you want to read.
According to the Russo brothers, at the end of Endgame, Cap returns all the infinity stones, and then stays back in time to live with Peggy in a branched reality. There are lots of unknown details there and I don't plan on guessing them. However, when Steve decides to leave his own reality/timeline, that version of him dies. That's the version of Steve I'll be playing here. He knows the risks, and he knows that somewhere out there, a version of him is finally getting his reunion with Peggy. But as soon as he travels to one reality — one new, multiverse version of him is created and the old version of him dies. To be clear, this is me bringing my own speculation here into the verse. This is similar to how memory works in Dollhouse when you move from body to body, or how alternate timelines work in Community!

• Name one hero who was happy. You can't.
• War is a slippery slope
• I don't want to kill anyone
• p.t.s.d.
• You're Atlas.