As you might guess, the biggest problem was that it might have been perceived as confusing by fans.
Some folks already have a hard enough time wrapping their brains around the fact that 2023 Nebula kills 2014 Nebula in the blockbuster, and introducing the idea that Thanos cut off Captain America’s head in the past before traveling to the future definitely would have exacerbated that puzzlement.
Obviously this bit would have been extremely notable had it been included in Avengers: Endgame’s runtime, but there were specific reasons why Christopher Markus and Stephen McFeely ultimately decided that it didn’t belong in the movie.