And the funny thing is that it's totally fixable. Have a scene with Tony and Rhodey in direct contact with someone from SHIELD where we find out that SHIELD is tracking other leads to the same problem and Tony and Rhodey decide to continue on the lead they have.
Not to mention a scene with Fury scrambling everyone at SHIELD to get a fix on Tony's whereabouts after the mansion attack.
But those scenes don't/wouldn't really contribute to this movie's story. It would just be... "oh, by the way, remember..." I don't see any reason for that at all.
It doesn't mean that SHIELD's involvement, or lack thereof, won't be explained at some point, though. There are a lot of ways they can do that, whether it be in Cap 2, or a short film, or whatever. Or not, as the case may be.
This happens all the time in the comics.
No doubt this movie's choice not to involve those things was motivated by wanting to really make this Tony Stark's story, and avoid some of the cluttered feel of IM2. Which, I think, they were successful at doing. Later you might see them do more "crossover" sequences in the solo films, again, though, it's not like they have to stick to a given formula.
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