I've always appreciated that "Thunderbolts" is a comic with a constantly evolving setting and status quo. Save for the presence of villains, it's shifted from villains masquerading as heroes, to trying to become heroes, to going through a rehabilitation program, and so on. Locations, likewise, have jumped all over the Marvel Universe. So now that Jeff Parker and Kev Walker have turned the book on its side, understand that it's in a long tradition of crazy choices. More importantly, understand that you'll be dying to find out what happens next.
What's fun is that there are lots of little hints about where the fugitive Thunderbolts (after slipping the leash of their handlers last issue and teleporting the Thunderbolts tower to parts unknown) now reside, but they're given in a way so that they can slide past the reader at a casual glance. It all fits together once you understand the twist (and starting next paragraph, that spoiler will be revealed, so don't keep reading if you don't want to know), and it's just another nice touch from Parker's writing which has been consistently strong and entertaining on "Thunderbolts." It helps that your attention is probably being grabbed by the character interactions; Moonstone is stealing every scene she's in, and Satana's glee over shepherding the evolution of Man-Thing reminds us of that particular little puzzle and makes you glad that it wasn't abandoned with the new setting.
As for the jump back in time? It's got a lot of potential. Marvel's had heroes well-established in World War II, and even though the cover shows Captain America and Namor (and mentions a "new era"), it's a clever little twist to bring modern heroes into the book without needing to have them time-travel back after the Thunderbolts. And of course, this is a group of characters who really should not be allowed to time-travel at all (considering how unlikely they are to follow the rules of not changing the timeline) so it makes their new setting that much more intriguing.
Walker is clearly having fun with this new turn of events, from Moonstone's 1940s inspired hairdo and outfit on the final page, to having Troll gleefully bounding through the mountains of Austria in search of food. Walker's attention to detail here is hardly surprising, though; from all the butterflies hovering around Man-Thing to Moonstone's post-shower outfit, he's always thought through every panel carefully and drawn it for maximum effect. Mr. Hyde is such a monstrous hulking figure when next to the Fixer, it makes you understand why the other characters are in fear of him, and Satana's transformation looks genuinely demonic. And of course, you don't get much more heroic than having Walker draw Captain America and Namor plunging into the fight, both looking determined and muscular.
This is a bizarrely fun turn of events, and while I don't know (nor do I want to know) how long this story will last, I plan on enjoying every chapter of it while I can. "Thunderbolts" from Parker and Walker has been consistently good, and this issue is no exception to that rule.