Firstly, what we see in Avengers: Endgame around that point is already in a nexus event. We're watching the branched timeline as we see Loki take the Tesseract and escape. This means that the Sacred Timeline is slightly different. This could be something as small as Loki just never actually picks up the Tesseract to escape but the plan is shot and they can't get it themselves now. Or it could be something completely different altogether. I don't think there's any information on what should have actually happened here though.
Note though that as per the rules set up in Avengers: Endgame the branched timeline that Infinity Stones are taken from can be erased by simply putting the Stones back so they never really left.
The Ancient One: The Infinity Stones create what you experience as the flow of time. Remove one of the stones, and that flow splits. Now this may benefit your reality. But my new one, not so much. In this new branched reality, without our chief weapon against the forces of darkness, our world will be overrun. Millions will suffer. So, tell me, doctor, can your science prevent all that?
Banner: No. But we can erase it. Because once we're done with the stones, we can return each one into its own timeline at the moment it was taken. So, chronologically... In that reality.... it never left.
Whilst the Tesseract was not taken out of this timeline the Time Stone and the Mind Stone (inside the Scepter) were taken and then placed back. This means that any branched reality here was erased as the Stone was returned. As the timeline continued as it should do this means no nexus event is created around this moment.
It is worth noting though that head writer for Loki has the following to say:
Marvel already made its case for how time travel works in Avengers: Endgame, but that, Waldron points out, “is the way the Avengers understand it.” With a TV show it’s a little different. “I was always very acutely aware of the fact that there’s a week between each of our episodes and these fans are going to do exactly what I would do, which is pick this apart. We wanted to create a time-travel logic that was so airtight it could sustain over six hours. There’s some time-travel sci-fi concepts here that I’m eager for my Rick and Morty colleagues to see.”
Vanity Fair, How the Man Behind Loki Is Shaping Marvel’s Phase 4 and Beyond
This just means that what we understand from Avengers: Endgame isn't entirely true and that makes sense given Markus and McFeely's comments in the past about Steve staying in the same timeline, paraphrasing from memory: "there are time travel loopholes for that".