Davos was sent away to Castle Black on a mission to bring back supplies. Or so it would seem. However, that looked suspiciously like Stannis getting Davos out of the way so he couldn't stand against the Shireen sacrifice. He had a special bond with Shireen, and he would've fought desperately to save her. There was a sense that Davos knew she was in danger when he left, but how will he respond if and when he finally returns to Stannis' side to find her gone. The conflict between Davos and Melisandre has grown immeasurably over the seasons, and now things are coming to a head. However, could Davos stay at Castle Black? If he's lost all faith in Stannis, he could be heading to take the black and become a brother of the Night's Watch. He could be a loyal ally to Jon Snow in a time when he really needs it.