Also, my interpretation of that story-line is that it'd create a new timeline, one in which Steve could possibly interfere and free past-Bucky from Hydra more quickly. Then there'd be 2 Buckies in the timeline, which could mess it up (2 Steves wouldn't be an issue because original Steve would remain frozen - they probably wouldn't have the technology to enable him to survive being defrosted earlier).

In reality, it'd also been a bit of a spoiler if Bucky had gone with Steve to return the Stones. It wasn't exactly a 2 man job. And the writers would have wanted viewers not to immediately know that Steve was planning to stay in the past, even though some might have guessed or wished it.