I honestly feel that the Bucky/Cap stuff is equally thin. What should have been a deep and abiding friendship based on growing up and going to war together in TFA is painfully thin instead. It's not nonexistent but I do not find it near deep enough.
I agree, it definitely could have been better developed across the entire Cap trilogy. I don't think they had a complete direction for their story mapped out yet while making TFA, and frankly they couldn't have considering how ambitious and uncertain the MCU was at that point. Regardless, it still hurts the film series because their relationship isn't really sold as much as it should have been considering it eventually becomes one of the most critical relationships in the entire universe. Having the same directors across all three films probably could have helped.
For TWS they decided to fully commit to the Steve/Bucky storyline, so they they made up for what was lacking a little bit with flashbacks, themes of loneliness and isolation, and numerous mournful gazes of longing that allow people to see whatever they want to see.
The fact that Bucky is a brainwashed assassin for most of the film makes it hard to dive into their friendship though. There's still A LOT of emotion packed into that final fight scene, which is why I like it more than most fight scenes in the franchise.
I think Civil War did a better job of selling how much they care for each other, largely due to strong performances from Chris and Sebastian. They're the only ones who understand what the other has been through, where the other comes from, and how they're sticking together no matter how strong the outside forces tearing them apart are. The little moments in the script and their chemistry together sells that, even if it's not as melodramatic and fully realized as it could be. The fight scene with Tony had even more emotion packed into it, and Steve choosing Bucky over Tony until the bitter end is very significant, as well as equally devastating and touching.
They definitely could have made it have a much stronger impact if they had more foresight and direction from the beginning, but there's so much going on in the MCU now that it's hard to sell everything 100%. If this was JUST a Captain America franchise, all of his relationships would be a lot more developed, but for something of this scale you have to read between the lines sometimes. Thankfully they've accumulated enough talented directors and actors to make that possible.
I still find it to be one of the most compelling and fascinating relationships in the MCU, which for the most part has been kind of light in tone. They're just now starting to dive into stronger themes and relationships for the leading characters, and this one was kind of the beginning of that.