Alexei's eager, casual expectation that Cap remembers their battle shows he totally believes it happened. That's why he was so offended at his arm wrestling opponent; 'what I'm saying is TRUE and you're treating me like a liar?!' And while Alexei's self-absorbed, big red's not so detached from reality as to have multimodal hallucinations.
Steve Rogers was indeed frozen in '45... one iteration of Steve Rogers. As we see in Endgame, another iteration traveled back in time and would have been living his life concurrent with the Red Guardian's career. Steve can't act overtly, but it's not his style to sit on the sidelines, and he's gotta fill the decades with something besides plowing Peggy. It makes sense that he went on secret missions from time to time, and once ran afoul of his Russian counterpart.
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