Baron Zemo recites the nursery rhyme Ba Ba Blacksheep to children in the alley to get info. This isn't a random choice. The nursery rhyme originated in England during the wool tax in 1275 and in it the sheep says that he has two bags of wool for his master, but none for the freezing children in the alley. This is because the King was taxing wool essentially taking it away from the people. This fits in with Karli''s goal of erasing nations and taxation and returning the world to an open agrarian lifestyle.
First time in the MCU that the Captain's shield is depicted with blood on it.
When Sam wants to reason with Karli, he tells John Walker that he used to counsel soldiers dealing with trauma, which was Sam's job in Captain America: The Winter Soldier (2014).
In a fight with John Walker, the Dora Milaje end up pinning Walker down by using the shield against him, a way of signaling he's not worthy or capable of wielding the shield or the title of Captain America. Afterwards the Dora Milaje use the Frisbee kick to pickup the shield, just like Steve Rogers.
When Sharon Carter walks through a tunnel that's filled with graffiti, the scene was actually filmed at the Krog Street Tunnel in Atlanta, Georgia, which is well known for its street art.