While Natalia is away and his nightmares haven't returned, James uses this time to get reacquainted with Bucky's best friend and brother, Steve Rogers. They go to visit the new New York City, a place completely different from the New York City that Bucky knew.
Steve hurries through the last time he saw Bucky, the moment when Bucky fell from the train but avoids discussing the Winter Soldier. Steve and James talk about whatever James knows about Bucky and their shared childhood and dreams. Naturally, Steve leads into the women in Bucky's life, because the Bucky he knew was always surrounded by them. Subtly acknowledging the complicated relationship between the Winter Soldier and Natalia Romanova, Steve remarks to James that of all the women who went in and out of Bucky's life, Bucky always did seem to favor redheads most. After all, Bucky's first real relationship, albeit short-lived, had been with a pretty girl named Jessica, a redhead.
Steve talks about the World Fair (Bucky probably wouldn't have remembered anything from the Fair anyway, as he was too busy flirting with women) and mentions how it's weird that he and James are both living this many years into the future. Who'd have thought? Steve also talks about acquaintances and friends: Peggy Carter is a retired officer with the Strategic Scientific Reserve and has a granddaughter named Sharon; Howard Stark passed away, but he left behind a son, a "great bundle of fun" (said sarcastically) named Tony. There is a lot that Bucky has missed out on and now James has to put the pieces together again.
The only memory that James can tell Steve about the Winter Soldier is that Natalia was there and that they had planned to escape Russia together, but it didn't happen the way they wanted it to. She left first (he doesn't mention that the Winter Soldier forced her to) and the Winter Soldier would always get brainwashed but for some reason he never forgot to look for her even if he couldn't explain it. As for James, all he knows is that there was only one reason that Natalia would ever want to die for someone who can't even remember her, the way she was, and that's why he chose to defect from Russia.
Because she had faith in him.