Ohh, the potential for Peggy angst in this is fantastic. Maybe the guards mention the treatment and how Bucky's healing will be enhanced during the rapes. So after Bucky falls from the train she's conflicted on whether she should tell Steve the truth.

On the one hand there's a super slim chance Bucky is still alive, but on the other hand what if he is dead? If she turned out to be wrong then the weight of the truth would just cause Steve more unnecessary pain and make him feel even more guilty.