Minor spoilers for Avengers: Age of Ultron follow.
One of the great things about The Avengers is that the team is always changing. In fact Avengers #16 had Captain America replace the entire original Avengers team (of which he isn't even a member! He was introduced in Avengers #4!) with new members. The Avengers have always been mutable.
And so it shall be on film. At the end of Age of Ultron Cap will assemble a team that is a mix of familiar and new faces, leading forward into Phase Three. It's an exciting mission statement for Marvel Studios, letting audiences know that the Avengers team is more than just the guys who were in the first film. The make-up of that team is, technically, up in the air until that scene is shot (I suspect it's being saved for either scheduled reshoots or will be snuck into the schedule of Captain America 3, which goes before cameras early next year), but Joss Whedon's script did indicate who would be on that team. I won't reveal all the names - and some have changed in between drafts, by the way - but one character who has always been in this new team is Captain Marvel.
Now, this is an end of the movie cameo. This isn't a big part of the movie. This new version of The Avengers isn't involved in an action sequence or anything. So changing the characters can be done up until the last minute without hurting the story itself. What this bit accomplishes is basically pointing the way to Phase Three, saying "These characters will be important."
That's why Captain Marvel (called Ms. Marvel in the scripts I know about) is important. This cameo establishes her as a player in Phase Three, possibly with a movie of her own. Likely with a movie of her own.
But now I'm hearing that Marvel has cold feet about including her in the film. Not because they're against the character - my sources assure me she is coming and it's very plausible she could be on the team in Avengers 3 - but because they're not certain they want to introduce her in this way. They basically aren't certain they want to just drop her into the MCU fully formed in a team movie.
I've heard that Marvel is avoiding full-blown origin stories moving forward (ie, less Iron Man or Captain America: The First Avenger and more Guardians of the Galaxy and Thor - characters who are already on their paths when the movie opens) but that doesn't mean they want to just drop characters into the movie universe who are fully existing. Ie, while Doctor Strange may not follow the Batman Begins template of following Stephen Strange from civilian life to becoming Sorcerer Supreme, it doesn't mean the movie will open with everybody in the world knowing who he is. Look to Doctor Strange's first appearance in Strange Tales #110 for a good template - the dude has his powers, but isn't involved in the superhero universe around him yet. Doctor Strange didn't actually get an origin for a number of issues.
Anyway, they're okay with opening Doctor Strange like Thor - the characters exist, have their abilities, have their relationships, and as the movie goes on we learn the important background. That doesn't mean they're totally okay with just dropping a fully-formed character into Age of Ultron. This is part of the reason why you won't see Black Panther in the movie, despite the film visiting Wakanda so Ultron can get vibranium. There's enough time passed between the end of the action in Age of Ultron and that final scene for Carol Danvers to get powers, a costume and have a career as a hero, but the powers-that-be aren't sure how this will play on film. Will dropping her in just be baffling to audiences? I think it'll be an exciting hint in the way that many of the credit tags are exciting hints.
What this means is that right now it's looking like Captain Marvel will wait to be introduced. I don't actually know whether they shot this ending scene yet or if they're holding it for reshoots. I feel like they might hold it for reshoots so they can assemble the actors in LA without spoiling anything (having all these actors converge on the London soundstages would have been a tip-off), but I don't have strong information one way or another. It might be too late to convince Marvel to include Captain Marvel in Age of Ultron. We'll find out in May.