I've found what was tainting my memory - it was definitely the 2nd of the Lego Marvel games (here's someone's video of it: https://www.youtube.com/watch?v=75EWW-9DDfg). There is certainly more shape to the building in stills from the movies than the one in the game.
Thinking about locations, Lego has actually sort of covered a lot of the more memorable ones - Stark Malibu house, Wakandan lab, Hydra castle, Sakaar arena, the tower, the compound, the Sanctum. Even the Sokovian church I guess.
If there'd been sets before Avengers, then the Shield structure around the buried hammer in Thor would probably have been a shoe-in - couple of walls and a crane and a dirt pile, like that Spiderman set that no one liked. First Avenger train heist could have been nice, although that's more vehicle-y than location-y, but the Han Solo set for basically the same scene was a swing and a miss.
Maybe something will crop up in Phase 4.