Pierce finds it distasteful to get his hands dirty. Hydra has Captain America chained up in a cell? Pierce is going to make sure he gets tortured and humiliated, but he's going to do it from the other side of the bars. Rumlow is the henchman with the creepiest enthusiasm for dirty work, so Pierce sends him in to rough Steve up, and stands by to give very specific directions on what he should do next.

Rumlow's just taking orders--no hard feelings, right, Cap? Nothing personal. He even grudgingly respects Steve after they worked together. But he also likes being Pierce's attack dog, following orders that other people won't. Especially the degrading rapey kind. He's not into guys, but he's got no problem getting it up right now--it's sadism that gets him hard enough to pound nails.

At first Steve is snarling all sorts of defiant shit at Rumlow, but once he realizes what's going on, he starts talking past Rumlow, aiming his defiance directly at Pierce. Why acknowledge the inanimate sex toy being used as a torture implement, when the real perpetrator is standing right across the room?

tl;dr: Pierce using Rumlow to rape Steve by proxy. Pierce standing to the side giving detailed directions, Rumlow enjoying himself but leaving all the control and initiative to Pierce.