That's my theory. The locket/compass is an anchor point, and one where Steve knows he can lay his hand on an infinity stone. (Of course they'd need the time stone first, so ... whatever.) Or maybe he has the Time Stone and is flirting with just going back and ignoring this entire hellhole of a time line so he can live happily with Peggy and sire baby boomers. Of course being Steve, he won't. But he could, and therein lies yet Another Heroic Sacrifice.

I'll shut up now...