These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Walder Frey points out that all the great houses have always looked down on his house and thought they were better than him, even when they do the same as he does: "People snigger when I marry a young girl, but who said a word when Jon Arryn married the little Tully bitch?"
Balon saying that Theon is no longer his son because he's been emasculated. It does make Theon dynastically useless. Even if Theon survives and succeeds his father, the seat of House Greyjoy will go to Yara's children after him anyway. Also, given how little respect the Ironborn give Theon before he's castrated, can you imagine any of them following him after? There'd be a rebellion in a week.
Walder also calls Robb out after he claims to not want to rub his marriage in Walder's face, despite his wife standing right next to him at the time. (This is also a Mythology Gag: in the books, Robb left her at Riverrun, both for that reason and because Catelyn reminded him that he would be unable to stand there while Frey insulted Mrs. Robb to her face. Cat may have screwed up some other things, but she hit this one on the head in both continuities!)
Unfortunate Implications: The final scene with the Yunkai slaves praising Dany and calling her "mother" has been accused of a White Man's Burden vibe. Though it should be noted that the equivalent scene from the books featured white slaves as well, and the only reason they don't appear here is because the extras were cast in Morocco. Given how thoroughly Dany's attempt to single-handedly dismantle and overhaul the social structure and labor economy of an entire continent is deconstructed in the books, it's entirely possible the vibes were intentional, to make it all the more jarring when it happens in the show.