Davos and Shireen have shared some great scenes on the show, conversations free of all the political scheming, lying and subtext that most others have. Theyre just moments between two characters who are genuinely good, and who have developed a rather strong bond. When Stannis orders his Hand away from his army and back to Castle Black, it leads to the Onion Knight and his Kings daughter enjoying one more heartfelt scene, and one that proves to be heartbreaking as well. The writings been on the wall for a while now, but you know for sure something bad is going to happen when Davos finally leaves, after giving Shireen a gift (a miniature carved wooden stag) and telling her he cant wait to hear of The Dance Of The Dragons when he returns. Theres no way he would allow what happens next, so thats why he has to go.