GLO Glorificus Senior Member Winter Soldier likely has faster reflexes than Pyro, who needs a few seconds to get his fire up and going and for the fire to actually reach Bucky.It's enough time for Bucky to put a bullet in between Pyro's eyes, I'd wager.
WM Wonder Man Most Powerful Avenger Magneto teaches mutants how to effect their environment. I think Pyro might have some goals he can use.