I felt that way with the Dothraki charge, but with Theon, it was his redemptive arc. He returned, faced the people he had wronged, then died in service of them in a noble but ultimately futile gesture. It's kind of a dumb cliche fantasy trope and I think they have something similar planned for Jaime. I just want to know why dragon fire DIDN'T work, but Valyrian steel did. We'll probably never know what the deal with the White Walkers was.