Theory: Rhodey has been a Skrull since Iron Man 2. When the Skrulls went to replace Rhodey he was meeting with Don Cheadle, there was a mix-up and the Skrull has been using Rhodey’s memories with Don Cheadle’s body. Everyone knows he’s a Skrull, but it’s useful to have one for-sure Skrull on the books.

Edited to add second theory: Rhodey is dead. Armour Wars will be about getting StarkTech out of the hands of the Skrulls and Don Cheadle is actually playing the villain.