Steve has heard a saying that "People come and go, and of all the people in your life, you are the one who is there to stay." Strangely, this saying is very applicable to his case. It's impossible to go through life in general or in his case war without losing anyone. However, the person saying it certainly does not have his case specifically in their mind as he literally outlives everyone by accident.
There is also a saying that "Friendship stays forever". That is certainly very true. Despite his blooming friendship with the rest of the Avengers and some of the S.H.I.E.L.D staff, nobody can replace Bucky, Peggy, Dr Erskine, Colonel Phillips, and the rest of the Howling Commando in his heart. Every friendship is unique.
He also often hears the regret of the dying is that they don't have enough time to do what they want to do. He can certainly appreciate the irony for his case. Although he has to live through the consequences such as losing everything he loved, he has done everything he could and he still has all the time in the world.
If he were given the choice, he knew which one he would prefer to lose. He is not sure whether to mourn his loss first as that is the natural thing to do before being grateful for being given the second chance. However, being Captain America has sorted his priority.