The following contains spoilers for Black Panther. You have been warned.
Fans who stayed through the credits of Black Panther have been treated to a cool cameo, but many fans were likely expecting that moment to come much earlier, as part of the main story. Black Panther director Ryan Coogler explains that bringing that character into the fight in Wakanda wouldn't make sense, as he clearly wouldn't be mentally ready to jump into a fight after being successfully deprogrammed. According to Coogler...
With Black Panther being the last Marvel movie before Avengers; Infinity War, many of us expected this movie to set the stage for the big team up with lots of references and set-up, and with the end of Captain America: Civil War showing us that the Winter Soldier was in Wakanda, he seemed like the most obvious Marvel character to appear. The main film, however, only makes a passing reference to him as a "broken white boy" but in the closing credits, we see Bucky Barnes with Shuri, having been apparently successfully rehabilitated. However, we also see that he's not quite 100%. Ryan Coogler tells the Empire Film Podcast that it only made sense for Bucky to be in this state, so sending him to help in the fight in Black Panther just wouldn't work.
However, it turns out that's not the only reason Bucky Barnes was kept out of the main Black Panther story. Ryan Coogler also points out that there's a potential problem with the on-screen visual if the Winter Soldier opens fire during the climactic battle.
Yeah, that could have been awkward.
Black Panther's self-contained nature is part of what makes the movie so strong, so it's probably a good thing that it didn't get bogged down in Infinity War setup. It's not like it's really necessary. We're all going to see Infinity War regardless of how much we know going in. Besides, at this point, everybody who cares always sits through the credits of a Marvel movie, so the final scene isn't exactly hidden.