There was much that this version of herself, in this point in time, did not understand. One way to understand better was to ask questions. She hadn't allowed herself to ask too many when Steve had been telling the story. The circumstances he shared them under were quite tense and emotional. Peggy had been busy trying to catch up enough to understand how he and Bucky and Zemo entered into this confounding dance of theirs.
It was with only a hint of bitterness that she said, in reply to what Thor had probably meant as a compliment, "I'm sure that is the extent of what Captain Rogers has shared with his colleagues from the future about me. My connection to SHIELD." Granted, it was how she chose to introduce herself as well to the God of Thunder.
However, she did not dwell on unpleasantness. She managed a small smile and added, "But yes, I did help to co-found SHIELD, from the remnants of the SSR, alongside my compatriots Howard Stark and Colonel Chester Phillips. We had all worked together before on Project Rebirth during the war." She wasn't sure whether Thor would know that name. "The military operation we carried out to formulate the world's first Super Soldier serum, leading to the creation of Captain America."