Fighting Aliens who were in leagued with the nazis is a very silly concept, its pretty amazing that it worked in Ultimates. I doubt it would work in a movie
Its a comic book, you have suspend your disbelief a bit.
The fact is putting aliens in a Cap movie wouldn't be pratical, it would just be uneeded drain on the special effects budget. The aliens worked in Ultimates because they were fighting the ultimates, not just Cap. Cap fought aliens in Avengers title, but not in his own title.
Cap on his own works best fighting human beings with political agendas like the Skull. A Cap movie should combine elements from the 616 and Ultimate universes.