Marvel Cinematic Universe movieverse coming with Marvel one shots from Thor onward and they were a pretty much successful and talked about thing. But why did no Marvel one shot come with Captain America: The Winter Soldier?
Officially, because they were "too busy" focusing on feature films, or they just didn't have a good enough idea at the time.
This article about the omission explains:
Executives there have told EW in the past that they might bring a temporary halt to the One-Shots if they didn’t have a strong story idea or their full focus was needed on the feature film pipeline.
Guardians of the Galaxy however was missing one because there was no room on the disc.
Director James Gunn mentioned this on twitter.