So, Theon's boys just up and leave, and become the villains who burn Winterfell to the ground. In a way, that's disappointing. The Game of Thrones novels employ a never-ending series of castrations and flayings and disembowelments and gang rapes and other prurient acts to maintain reader interest via shock value. Given that, one of the prime contenders in the pageant of sadism that is GoT is being denied us.
Perhaps not surprising though. There have been a lot of little moments of empathy and humanity that are antithetical to the pervasively grim tone of the novels. For example, it's unlikely you'd see a soldier be squeamish about killing a baby. Nor would you see Varys having a moment where he puts aside his enmity towards Littlefinger to display some mutual grudging respect, or issue some words of sincere-sounding consolation to Tyrion. Even Cersai has been sympathetic at times.
Well, maybe, maybe not.
Cleftjaw and co up and leave? Check.
Winterfell burnt down? Check.
Related? Undecided.
Cleftjaw and co could have just as easily turned over Theon to "Stark's" men, and been butchered anyway by Ramsay Snow before the bastard goes on to burn down Winterfell. After all, we last see them heading for the gate, not wandring around setting stuff on fire and killing the remaining servants.