Captain America: The Winter Soldier made a strong point about the issues of surveillance and trading freedom for security, where even the good guys (SHIELD) didn't realize until too late that they were doing the work of literal nazis. There was lots of boom boom in it, but it wasn't a dumb movie.

Arguably, Iron Man 1 was quite explicit about the issues of war, terrorism, and sales of weapons; it had a quite dark undertone for a MCU movie.