So Thor and America are getting caught by SHIELD ... Since America feels guilt-ridden after all the destruction she caused during the fight (and the Hulk and Thor too), Natty told me America's just going to give herself up. Thor, not knowing any better and probably assuming that SHIELD are her allies (and that they are not trying to arrest her) will willingly go along till she figures out whats going on, then she'll want out. It's likely she'll agree to Cap's terms though when he asks the heroes to form a team, on the condition they tell her all they know about Loki.