So what's the general consensus then? Did they or didn't they have sex during the WW2? When I think about the amount of time they would've known each other during the war, I tend to lean more towards them having a very deep (but secret) relationship.
I can’t speak for everyone here of course. We all saw the same movies and what was left unseen (because of the limited screentime) is open to interpretation. Everyone has a different headcanon, even Hayley wasn’t really sure when she was asked about it.
If you think they were an item, go ahead. If you don’t, more power to you.
It’s like the question if Steve and Buck were a thing. The actors said they hadn’t played it with that intention but if fans liked to interpret it as such, they wouldn’t object.
If you asked me and only me, I’d say Steve and Peggy were not in a romantic/sexual relationship during WWII. They weren’t even actively courting. There just was lots of eye fucking involved and immense mutual pining. Steve carrying her picture around, without her knowledge mind you, like a schoolboy with his first crush, and his embarrassed reaction when he was found out underlined it. Peggy testing the waters at the bar, showing Steve that she had noticed his shy interest in her and that she returned that interest.
But they were in a very extreme situation - war! And she was his superior/liaison. As a woman in her position, she was fighting enough sexist prejudices, she didn’t need to encourage those by sleeping with THE Captain.
Also they never acted like they were in a relationship (especially awkward Steve), only like two people deeply in love and longing for each other but always separated by a rift. They kept their relationship professional and platonic while their eyes screamed for more. They danced around each other, never saying out loud what they felt which also lead to the “fondue faux pas”.
I think a good enough parallel would be courtly love, a knight and a lady during medieval times and their pure, desire-filled, yet platonic love for each other. Another example in modern fiction is the relationship between Elisa and Goliath in the Disney cartoon Gargoyles. They knew what the other felt, yet never really talked about it and kept their relationship platonic till the end (yes, the racial issue was part of it as well but that’s another story).
And the importance of The Dance is enough proof for me. We all know it wasn’t only about the simple act of dancing. No, The Dance was also a metaphor for a life after the war, for a future together, for FINALLY being able to actually BE together and start a relationship. The Dance stood for a life, for open love, for sex - and since they never got it (thanks, Steve, you dramatic asshole), they never had the chance to either get to know each other outside of an extreme situation, explore those feelings they had for each other or put those into action.
Now, looking at Steggy as a part of a movie, I think if there had been anything going on, we would know for sure! Johnston did a wonderful job when it came to Steggy scenes and I think he would have made sure to include a scene or even an unambiguous hint if they had been more than Captain and Agent.
It’s that bitter-sweetness of a lost chance never taken and what could have been what makes Steggy so lovely and sad in my opinion. They had put a blossoming love on hold, for the sake of others like both Steve and Peggy always do, with the intention of waiting until after the war - only to find out that there was no “after” for them. If they had a relationship, they would have already gotten what they had wanted and Steve’s death “only” ended it. As Tennyson wrote “‘Tis better to have loved and lost, Than never to have loved at all”… and Steggy didn’t get the chance to (openly) love and act on that love which makes their story the most tragic one in the MCU.
But that’s just my interpretation.