Okay, so in an interview the Russo's confirmed that what Cap did WAS create a new timeline. With the up in the air being how he got back to the main timeline.
But that's not that big a question, because once a branching timeline is created/established you could hop between them. At least, in comics you can. Which also explains the return of the shield.
Cap went to the 1940s to live his life, creating an entirely new timeline unique from the original timeline. There is no question about, "Then why didn't Cap change XXXX?" He probably did but it makes zero-difference to the main timeline which he wasn't living. He probably did save Bucky from becoming the Winter Soldier and stopped Hydra from becoming entrenched in S.H.I.E.L.D. (if the agency ever formed at all with him there). Then years later when his Peggy died (which Cap couldn't have prevented) he traveled back to his own timeline/reality with the shield from that timeline.
The fact that this other timeline existing is confirmed, probably means other alternate timelines still exist too despite Banner's return-the-stones-to-merge-them idea. After all, merging a timeline is just a nice way of say destroying the other timeline. Of course, its not that Banner is 100% wrong, we're probably just not thinking about it in the right way. Once a new timeline is created, its there. And its not created when you take a stone, its created the moment you travel back period, because just you being there at all has created a branched off reality. Returning the stones doesn't really merge the timelines it just (in theory) sets those other timeline back on more or less the same course, except in many instances it doesn't because in some of the timelines the disappearance of the stones is only one of many major things that occurs.
Okay, so in terms of timelines we have:
Timeline A - The MCU propers timeline.
Timeline B - The Hawkeye timeline. Hawkeye may have only taken a baseball glove and made his daughter run down stairs, but that is still an alternate timeline. Its probably basically identical to the MCU proper, but its still its own thing.
Timeline C - The New York timeline. Presumably Cap hopped back to this timeline and returned the Mind and Time Stones. However, that aside, this timeline has two fairly major divergences. One, Loki escaped with the Tesseract and two, various Hydra figures heard what they believed to be Captain America say "Hail Hydra", though this might be written off by them as the person in the elevator having been Loki in disguise. Still, there is massive potential for major events like The Dark World, the Winter Soldier, and beyond to play out very differently in this timeline.
Timeline D - The 1970s timeline. Assuming Cap put the Tesseract back and also replaced the missing Pym particles, the major divergences in this timeline are probably the butterfly effect of Howard getting a mysterious heart-to-heart on fatherhood and also the fact that the Tesseract isn't the Tesseract, its the Space Stone in a new containment cube created in the future. Given how many things in the MCU timeline revolve around experimenting with the Tesseract, who knows what this incidentally changes. Maybe Captain Marvel isn't created in this timeline. Her creation in the MCU timeline was a one-in-a-million fluke after all, so even the tiniest change in Tesseract and thus its connection to Mar-Vell's drive could mean Carol Danvers is baked bread rather than empowered.
Timeline E - The Asgard timeline. Again, even assuming Cap gets the Aether back (does he inject it in Jane or just give it the Asgardians?) and accepting that Frigga wasn't keen on learning her own fate, its silly to assume events play out exactly the same. At the very least Frigga has been clued into her possible imminent demise and she's more clever than Loki. A timeline where she doesn't die would be quite different the existing one.
Timeline F - The Morag/Voromir timeline. Even returning the Power and Soul Stone, this timeline is just FUNDAMENTALLY rocked. Thanos and his forces, along with Gamora and Nebula are just gone. The Guardians of the Galaxy likely never formed at all. The attack on Xandar by Ronan doesn't happen. Ego likely never finds Quill. The Infinity War just never happens. Time Travel probably isn't discovered either.
Timeline G - The Cap's Life timeline. We see at the very least Cap apparently hooked up with Peggy and likely married her. It seems extremely unlikely he doesn't also save Bucky and nip Hydra in the bud. It also seems pretty likely that at some point he'd wake up the other him. Maybe other him isn't too busy and has a life that doesn't lead him to time travel to get one later on. Who knows really, its a brave new world of a timeline. We do know that at some point (presumably after Peggy dies) old cap returns to his native timeline to give Falcon a shield.
And probably others, I mean Timeline B undoubtedly has its own nigh identical versions of Timelines C-G being created too.