We know that Rhodey is in the movie because we've spotted him in the trailers, flying alongside Captain America, Falcon, Black Widow, T'Challa and the Wakandan army as they plunge into battle against Thanos and his hordes. We've also seen photos of him wearing some sort of apparatus on his legs, no doubt the continuing aftermath of his near-fatal fall from the sky (thanks to an errant burst of energy from Vision) in Captain America: Civil War.
But in an interview done on the set of Infinity War with Slashfilm and other outlets, Cheadle revealed that Rhodey, as a result of his devastating injury, is conflicted about the idea of putting on his War Machine armor again, even in the face of a threat as large as Thanos:
"That’s gonna be a thing for him to put that suit back on. Last time he was in it, it didn’t go so well."
Cheadle adds that the injury he sustained, from someone who he was ostensibly on the same side as, has left Rhodey somewhat distrustful and wary of his fellow Avengers:
"I think it’s something that he’s fighting to put behind him. But absolutely, it creeps up. There’s innuendo. There’s shots taken. There’s things said. Don’t want certain people behind me. I’m gonna keep an eye on everybody,I wanna keep that jewel in front of me, not behind me. So yeah, I think he’s, like I said, I think he’s negotiating this reunion and his rejoining this team."
Cheadle also spoke about Rhodey's overall stance on the purpose of the Avengers since the events of Civil War and his relationship with his friend Tony Stark (Robert Downey Jr.):
"I think there are definitely more questions for Rhodey. I think he was always somewhat straddling with having Tony as a friend and trying to support him and do what he needed, being outside of the lines, but still somehow trying to stay within the chain of command and the military man that he is. So I think that’s become more fraught and probably more frayed as the storylines go forward."
Finally, the actor remarked on Rhodey's reaction to Thanos, a villain from space unlike anything he's ever really encountered before:
"I think as always we’ve seen that Rhodey would prefer to deal with real-world things and that’s kind of what he understands. And when we start leaving the planet and talking about things coming from outer space, he’s like, dude, I don’t even know what that, what is that? I know how to fight guys and in tanks and weapons and that. I’m don’t, that’s something that’s beyond my pay grade. But he’s been thrown into the deep end, so they all are in a way in this one."
There's more in the interview, about working without a script (the actors were given their pages to read without necessarily seeing the entire narrative, to keep things secret) and about how Cheadle thinks Rhodey's injury foreshadowed the potential greater tragedies to come as the Avengers, the Wakandans and the Guardians of the Galaxy face a threat that will shake up the foundations of the Marvel Cinematic Universe. Whatever else happens to Rhodey along the way, we now know that the decision to put on his War Machine gear again isn't an easy one -- and can you blame the guy?
Avengers: Infinity War is out in theaters on April 27.