I agree its fairly murky but I will say that Agent Carter was the only Marvel Television series at the time with Kevin Feige credited as an EP, had episodes directed by one of the Russo Brothers and was created by Christopher Markus and Stephen McFeely. That, creatively is as close a connection to the MCU as you can get, but I firmly believe it to be the exception. None of those people were involved with any other series at any level, so we might look back on Agent Carter as the first true Marvel Studios series. Whilst there may have been some corporate synergy between Marvel Studios and Television during AoS's early days, that clearly disappeared after the shows canon began to clearly defy that of the films. In no way will Feige bring over any of the TV cast to the films, unless its a JK Simmons playing a different version of J Jonah situation, but again I think that will be a rarity.
As for this set, I suspect it might actually be available on the store worldwide due to Cons being cancelled, and if not, a possible polybag with Red Guardian and Nat in her white outfit might be quite easy to obtain. I managed to get the Captain Marvel and Nick Fury polybag quite easily in the UK.