Steve's both fought and fought beside 'gods'. Steve is fully capable of understanding gods as incredibly powerful physical beings that are neither invincible nor infallible. He's even got a rudimentary understanding of... alternate planes of existence.

This would be a situation he were more confident in fighting if 'protect your soul' wasn't a thing. That goes beyond mind control and 'it's an alien' in a way that... is enough for even him to be pretty damn daunted.

Not defeated. Not quite, but definitely daunted. Would be even if Catholicism weren't in play.

"I don't have the first idea how to figure out what's happening." He moves away from Zerxus to pick up his gloves and shield, so he can follow. There's more tension and wariness for that one - enough that while he just pockets the gloves, he sticks the shield back on his arm to carry.

It's not mistrust of Zerxus, or unwillingness, but 'led around the devil's... castle' is just alarming on principal. "I can barely even figure out alternatives that aren't Loki. Guess a big enough power source Hydra could punch me through a reality or three, but I doubt they'd close the door behind them, and it wouldn't make sense to put that much effort into removing me. Past that, I got nothing. I assume you'd have some idea if something on this side was the cause?"