Factual error: Wanda's father opens his briefcase of DVDs and one of them is Malcolm in the Middle. But the bomb that killed him fell in 1999, and Malcolm in the Middle didn't start airing until 2000.
Power Broker - S1-E3
Factual error: Every guard in the prison has the emblems of Hamburg on his/her shoulders of the uniforms. Zemo is said to be imprisoned in Berlin, so they are wearing the wrong emblems.
Factual error: A passerby tells Sheldon Sampson that the stock market has just gone "tits up." This is a British expression that you would likely not hear in the United States, and you certainly wouldn't hear it in the 1920's.
What If... Captain Carter Were the First Avenger? - S1-E1
Factual error: In the intro, we are shown how Nazi Germany spreads across Europe - but after showing Denmark being conquered, it is shown to start spreading across Sweden. Sweden was never occupied by the Germans in WWII.
Suggested correction: I feel like this falls under the "Not a mistake because it's an alternate universe" umbrella. We're in an entirely different universe with a different timeline in this episode.
The show also makes a point that the only difference should be the minor choices or events befalling the MCU characters, and how these minor things have huge consequences for them, basically creating a new, alternate timeline. Basic world history before these events is not affected by the new timeline.
Suggested correction: The black spot spreading is not representing territory physically conquered by the Nazis, but more of their sphere of influence expanding. It is a steady spread and not a true representation of the war's progression. You can notice how Switzerland is also covered by the black, even though it was neutral during the war. Nor was Italy conquered, but their ally instead.