For that matter, he was a defector before there *was* the full extent of Nazi war crimes. The project Rebirth experiments were in late 1940; the Einsatzgruppen and Zyklon-B didn't kick in until 1941, and Wannsee wasn't until 1942. Not that the Jews weren't hideously oppressed, but it was mainly ghettoization and deportations up until that point. Auschwitz was primarily for political prisoners, dissidents, and prisoners of war up until 1941 or so.
But it's NuMarvel, so Cap has to be the product of hideous experimentation on murdered innocents; everything has to be filthy.