Steve finds it amusing that they've seemingly replaced his code name with "Dad" after a few lectures about behavior, and a few times saving their lives. It's safer than code name "Captain America" anyway.
It's funny when they call him that behind his back, and even funnier when they call him that to his face.

What is NOT funny, he thinks, is the realization that they've been referring to Peggy as 'Mom' for just as long, and for all the reasons he thinks they are.

Bucky finds it hysterical, Peggy honestly doesn't care, but Steve's mortified.