You cannot make the first film on the assumption that there will be a sequel (in particular, since Marvel is planning an Avengers team-up film in lieu of immediate sequels). In particular, with a property like Captain America, which has rather dubious prospects at the foreign box office. The first movie is the only guaranteed shot you get, so I guarantee that it will tell both his origin and his return in the 21st century (which, may I remind everyone, is where most of his 616 adventures have been told). You also can't leave him in the cold and then unfrost him in The Avengers, because then you have to focus a considerable amount of the film on Cap's return to the 21st century, rather than on the other characters and the villain.
Ever since Lord of the Rings, every film adaptation has to be a trilogy for some reason. Don't get me wrong, I'd love to see sequels, but you can't bank on them.