Bucky likes Abby, and is kind of afraid for her sometimes. He knows she's scared of her future (and he can really relate) but her awful future sounds a lot like where he's been the past five years or so. Bucky doesn't want her to understand that.

He'd really like to be able to beat her at Halo, someday.

The fact that she calls him Captain America sometimes really...it doesn't annoy him, it more unsettles him. And he knows she doesn't mean anything by it, but it's something that can't help but mean a lot to him.