Zemo has certainly considered it -- turning himself in, or running away because what is the point of this? One day, it will end, painfully. But then perhaps it's not so bad, making a few more good memories before the bad ones inevitably come back.

It's easy to see why he stays, when he's got Bucky wrapped around him and they're quietly watching a movie they've not really been paying attention to. "Mhm..."

They will deal with it, one way or another.

"In the meantime, if you could have anything, James... what would you want most right now?"