Thor: Ragnarok included an amusing scene featuring the Infinity Gauntlet - but it actually caused a major plot hole. In one scene, Hela - having triumphed over the armies of Asgard - made her way into Odin's Vault. She was unimpressed with the contents, dismissing Odin's Infinity Gauntlet as fake and claiming that most of the artifacts were just junk as well; but she was a little more appreciative when she spotted the Tesseract, casting an admiring eye over it.
In truth, this scene - played for laughs and filled with humor as it was - was intended to be something of a "fix" to a long-standing MCU continuity problem. The first Thor film revealed that the Infinity Gauntlet was numbered among the prizes in Odin's Vault, but the post-credits scene of Avengers: Age of Ultron showed that Thanos had it instead. Taika Waititi's film established that the Infinity Gauntlet Odin possessed was just a fake, presumably made purely so the All-Father could show off. It seemed a reasonable explanation - although ironically it became another continuity issue when Avengers: Infinity War revealed that nobody had ever used more than one Infinity Stone at a time before, and that Thanos had the first Infinity Gauntlet forged on his behalf. In which case, what was Odin's Infinity Gauntlet based on in the first place?
That's not the only issue with this scene, though. While attention is mostly focused on the Infinity Gauntlet gag, the very fact Hela walks past the Tesseract raises a lot of problems. Hela clearly knows what it is; "That's not bad," she observed. Indeed, it's worth remembering that Asgard possessed the Tesseract for millennia before it ever got to Earth; in Thor, a book of Asgardian legends showed sketches of Odin wielding the Tesseract itself, clearly establishing that the All-Father had used its power in days long ago. If Hela knows what the Tesseract is, she's going to have seen it in action.
But if Hela does know what the Tesseract is, and what can be done with it, then why didn't she use it? In Thor: Ragnarok, after she had taken Asgard, Hela intended to march her army of the dead out to the Nine Realms and conquer them once again. She literally got as far as leading an army up to the Bifrost before realizing Heimdall had stolen the enchanted sword Hofund, which meant the Bifrost could not be opened. Heimdall and his Resistance had successfully trapped the Goddess of Death on Asgard, meaning her ambitions of galactic conquest were thwarted. The rest of the film saw Hela's armies scouring Asgard, searching for Heimdall and the sword that would allow her to open the Bifrost.
The Tesseract, however, is the Space Stone. As shown in The Avengers, its power can be used to open portals vast enough for entire armies to make their way through. And at the end of The Avengers, Thor was able to control the Tesseract and use its power to transport himself and Loki directly to Asgard - meaning it doesn't seem too difficult for an Asgardian to use it. Hela wasn't trapped on Asgard after all; in fact, she'd already walked straight past the artifact that would have allowed her to bypass the Bifrost. Heimdall's theft of the sword should have been nothing more than a minor inconvenience, forcing Hela to march her army back down the Bifrost and into Odin's Vault.
Oddly enough, Heimdall too should have known how powerful the Tesseract is. According to the Thor: The Dark World Prelude tie-in comic, Odin used the Tesseract to rebuild the Bifrost. Which means that even if Hela didn't want to use the Tesseract itself, she could have just created a new Bifrost bridge with it.
The Infinity Gauntlet gag in Thor: Ragnarok was a humorous way for Marvel to lampshade their forgotten Easter egg, but it nevertheless created multiple new continuity issues, including ones for the film's plot logic. Marvel would probably have been wiser to skip that scene entirely.