It was just so badly executed. Yara's speech about rescuing Theon was one of the big scenes of last season's finale. She would've had to have been sailing for fecking ages to get there. Here is a map to demonstrate how far she would've had to have travelled to get to the dreadfort
Added to that was how comical it all was, they take out a dozen men, yet high tail it because of a few dogs and an armorless Ramsey? Speaking of which, that was just embarassing, it was like the scene 2 weeks ago with the turncoats at crasters keep, with the guy drinking from a skull. They are portraying sheer comic book villians now.