Q: If Captain America’s Shield is put into play as a Drone minion during game setup for Ultron, can I retrieve it with Steve Rogers’s Setup ability?
A: No. The Setup ability specifically searches the player’s deck and discard pile. If Captain America’s Shield is not in either game area, the ability fails to find it. -(Official FAQ)
Q: If an ally is played while I’m Captain America, then I change form to Steve Rogers, will Steve Rogers’s “Living Legend” ability still apply to the next ally played?
A: No. Living Legend only applies to the very first ally played each round. -(Official FAQ)