The Stannis heading for the wall thing isn't supposed to be so blatant, for one. Now we know exactly what he's doing, which is the problem with all of this seasons issues: lack of sublety and overdoing things (Theon) that will resolve themselves through the narrative.
In A Dance With Dragons, when you meet Reek, you haven't seen him for three books. You don't even know it's Theon until it dawns on you. We know everything that happens to Theon simply due to his current situation. He is absolutely scared of Ramsey to the point where he has forgotten who he even is or how long time has lapsed. The tv show, instead, resolves to show the entire ordeal. It could be said that they had no choice because actors come and go and if he leaves GoT he [alfie] could have other commitments later, but I don't believe that shit.