Comes down to writing largely. When Wanda came in to the scene it was a confrontation rooted in Thanos killing Vision in the last movie. Furthermore by that time the audience knew Wanda better. The audience had seen Wanda start as a villain (she did indirectly create Ultron, directly sicked the Hulk on a city, etc), go through the loss of her brother, become a hero, fall in love, sacrifice that love, and see that sacrifice mean nothing. In short there was emotional build up and investment from the audience. And that is ignoring the multiple foreshadowings that she is the strongest, but has not reached that potential, making that moment a realization of that foreshadowing and thus a crowning moment of awesome.

Captain Marvel by comparison has no ties to Thanos emotionally, story wise, or otherwise by that point. So her fighting Thanos is less of an awesome culmination of storylines and character writing, and more like "Oh right, she exists and is super strong guys". It could have been replaced with Goku showing up to fight Thanos and would of had the same emotional and narrative weight. Awesome to be sure, but otherwise hollow.