OP here: another variant that would work is Bucky is trapped somewhere Steve can't reach him, but Hydra can and will, and because Steve won't shoot him Hydra carries him off. Steve thought that he could chase them down straightaway, but... it doesn't work out like that. Instead it takes weeks/months before he finds Bucky again. In this scenario, he's not there watching them hurt Bucky; he just sees the evidence of what happened on Bucky's body and mind when he's finally retrieved. This might be fun too!