So after watching it a few more times (or, more accurately, watching certain bits a few more times **cough**alltheBuckyscenes**cough**), the boat scene, the "next morning" where Bucky comes down to the dock (after seeing Sam's nephews playing with the shield), to me it feels like there's a tension in that scene as they're working on the engine (or is that the water pump?) between Sam and Bucky, or maybe not tension but just an uneasiness (that given the previous day's 'good energy' working on the boat, seems weird to be there). Little bit later, as their working with the shield, Sam brings up Bucky still having nightmares. As I got to thinking about this, I don't think Bucky ever told Sam about the nightmares.
Now, as a Vet himself as well as a former VA counselor, yeah he probably could've guessed that Bucky was having nightmares, but then I also think about the start with which Bucky woke up with... not as violent a one as we saw in episode 1, but he did wake with a gasp and a start (and for a brief moment had maybe a 'where am I' look before he saw the nephews). So I don't think his sleep that night was a restful one and Sam may have seen it (for example when he got up to head to the dock in the pre-dawn hours, he may have noticed Bucky on the couch not exactly sleeping well). Sam, being the good counselor that he is, just lets Bucky start to help, tells him what he needs him to do on the boat and doesn't bring up the subject with Bucky. Instead he waits until a moment when Bucky himself has chosen to open up about what's going on with him before he gives him his counselor's advice about how he might be able to get the nightmares to stop.
yes, some of that may be just my headcanon (but one I'm perfectly happy to live in

) and reading too deeply into things - feel free to disagree if you do

, but (to me) it's just one more "yay" moment for showcasing Sam's VA Counselor background (that I was kind of missing in the earlier episode(s)).
Hope that all made sense (apologies if it didn't)