In Agent Carter, Daniel Sousa discovers some bullet wounds on Agent Carter's back. When did she get shot. Was this somewhere in the captain America movie or before that?
As of this week's episode "The Iron Ceiling", the scars on Peggy's shoulder are simply a plot device that allowed Sousa to realize
that the mysterious blonde from the club is actually Peggy.
Without that evidence, there is literally no way for Sousa or anyone else to connect Peggy and the other woman... short of her confessing, which is unlikely.
Now, that said, we will likely hear an explanation for the scars when (or if) Sousa confronts Peggy in a later episode. Until then, we can only speculate that she was shot twice in the shoulder at some point during the war.
UPDATE: As of the season 1 (series?) finale, no explanation was given for the scars. Unless they're explained later somehow, we have to assume that they serve two purposes story-wise - A) a plot device as mentioned above, and B) something to show that Peggy saw action during the war.