So, some of the Winter Soldier's programming breaks pretty easily-- the stuff that's more out there, like that he volunteered to be the Soldier, or that he never knew Steve-- but some of the more innocuous programming is more stubborn. Programming him to ignore an urge to eat, for example, would stick because he remembers ignoring hunger before, too, so old memories wouldn't cancel the programming out. If that makes sense.

At some point Hydra gets smart and realizes that if Captain America wants his longtime lover back, he's going to get him whether or not Hydra gets in the way. So they fire a parting shot at the Winter Soldier-- turn the chair up to max and make him think that Steve is actually his brother. And because he has so many memories of looking out for Steve and caring for him (and on occasion, actually claiming to be brothers) it sticks, even as he starts to recover the rest of himself. He doesn't bring it up, because it wouldn't occur to you to ask your biological brother if he's still your brother, right?

Until one day Steve tries to kiss him again, and Bucky realizes that he's attracted to who he believes is his brother. He angsts like crazy, but Steve doesn't seem to mind the apparent incest issue.

+Bucky has horribly guilty sex with him and enjoys it far more than he thinks he should
++Steve doesn't realize the problem until much later
++++The fact that Bucky thinks it's incest comes out semi-publcially, like, in front of the avengers

++++++++++They have sex again before Bucky has really integrated the idea of them not being brothers, and he calls him brother by accident