George R.R. Martin telling them that Shireen gets burned in the books doesn't change the fact that she doesn't die here. If Stannis burned his child at the point he's at in the books, I'd probably be horrified (the desired emotional response), but I'd have felt the narrative earned it.
In the show, at the particular point in the narrative in which it occurs, it feels unearned*. It also has the nasty side effect of making the Bolton vs Stannis conflict a battle between two "bad" forces that feel like utter distractions to the main narratives.
EDIT: * at least to me.