I think the director just wanted to keep the focus on Cersei and how scared she was. On a personal note,..when Sansa turned the accusations toward Littlefinger, I could've jumped for joy,.. I'd really grown to hate that mfer.
Saw this somewhere, not sure I buy it but... Suppose Bran went back in time, got caught trying to prevent the white walkers and it was he who got stabbed by Leaf to become the Night King. Remember what she said when asked who they were defending themselves from... She said "from you're. I know real big stretch.
Pin yourself in a cave on a cliff that a zombie dragon can cook with blue fire.... Safer in the crypt at Winterfell. Underground and massive.
Don't see the Night King following them to the Vale, only see some people being sent there. Night King will be more occupied with where ever Jon and Bran are.
Fry Dany and Sansa and you take the snap out of the shorts of the good guy s. Chilly flus over, bakes them in minutes and back to it. Bran likely to get sent off too. Even more reason for the side trip.