Is it a headcanon when it's your OC?
She finished elemental training after the events in the Avengers movie.
Before I get into that though; Frost and Cap's relationship. Frost first helped out the Howling Commandos when they were in between a rock and a hard place in a battle. They attacked the compound she was held in and allowed her to escape. Keeping to the shadows, she took out men that were attacking Cap's men using her powers (the only thing she remembers about herself except training.)
The next time they meet she has a futuristic (for then) helmet on with her Elemental mark on the front and the name "Shadowfrost" etched on the back. Her breasts are bound and she looks like a short, skinny guy.
She communicates through notes and a sign language they developed. The Cap and Frost become friends and drawing buddies during downtimes. She had a small crush on him but he was Peggy's and she didn't want to mess with that.
Elementians have this sort of a soul-bond thing. Their soul connects to another soul that is compatible with theirs that will help them keep the balance of the dimensions and fight demons. Elementians don't notice usually notice when it happens to them. It's extremely rare and a lot like soul-mates. Steve Rogers became Frost's soul-bonded. She was in another dimension when he crashed the plane and she felt her soul freeze...
Her lives after that were cold and distant. Which is why Tony call here 'Ice Queen.' She freaked everyone out when she came back from training all happy and warm.