Yeah, Peggy and Sharon are *both* blonde in the comics. I kind of liked Peggy being brunette but I hope we get blonde!Sharon. My current head-canon says, that was obviously dyed hair, to make her look as much like Peggy as possible (witness the hairstyle and lipstick and of course the uniform).

But in the actual movie, blondeness would help differentiate her from Peggy a lot, visually and that can only be a good thing, if they do go a romantic-ish route (I actually think they're planning to go the Tony&Pepper in IM1 route with them for CA2 at least)