Marvel really had Captain Carter say “I want to go back to the time Steve is in” and then after the Watcher told her no she looked at Natasha, smiled and came back to her own time. Nat and Peggy is one hell of a crackship, but I am here for it.
At the same time, the post credit scene heavily implies that Steve, aka Peggy’s canon love interest, is somehow back in her time. Now, in the main timeline, who is the person from Steve’s past that gets brought back? Bucky. Interesting…
Honestly Marvel’s What If? take on Captain Carter is healing so many wounds. I did not like what happened in Endgame with Steve going back in time. That was wrong. He left Bucky, he left Sam, he left all the Avengers and the life he’d made over what a decade? To go and mess up the life that Peggy had made for herself and (presumably) branching a new timeline because I refuse to believe that he could just sit and watch history play out. Just do nothing as Hydra infiltrated Shield and Bucky was tortured. I hate it. It erases a decade of character growth and what about Bucky?!? What had they got to the end of the line? No, just no.
Anyway, in What If? the dynamic between Peggy and Steve is just what it should be, and I don’t mind that Peggy expressed a wish to go back to her time – because this was pre-Winter Soldier events! She was yanked out of the timeline by the watcher when she was on the boat (which happened at the start of that movie) so she’s still very much in the adjustment period. Even then though it was a fleeting pang and she went back willingly – like you said she thought of her friend/possibly something more with Natasha.
I’m very much there for Peggy and Natasha too. Can I offer OTP: sword and shield, or CaptainAgent as suggestions? I don’t know what other people are using. Perhaps Peggy in her world needs to get her Natasha a red shield, as she saw how effective it was with last-survivor!Natasha. Then they could just be SHIELD haha.