The NK n WW basically defeated the greatest army ever assembled in Westeros in little over an hour. Dothraki, Unsullied, Wildlings, Northerners, Ironborn, Dragons, Targaryans, Lannisters, Starks, a Greyjoy, the 3ER, the Red Woman, Mormonts, even a Tarley. They clearly were a great threat. The NK never accounted for a girl who'd been trained by the Faceless Men. Tough luck.