In Avengers: Age of Ultron, when Stark is about to bring The Vision to life over Captain America's objection, Captain America says that "the Avengers were supposed to be different than SHIELD.".
Then later when Sokovia is flying and the SHIELD helicarrier appears, Pietro says " this is SHIELD?" And Captain America replies "this is what SHIELD is supposed to be.".
Why is Captain America disappointed with SHIELD?