I'm really tickled by the end to the Winterfell storyline being left like that -- I think a lot of viewers must have assumed Theon's men set the castle afire on their way out and perhaps Bolton's men are chasing them or some such. All the better to shock and disturb when Ramsay Bolton starts out appearing reasonable and like a loyal bannerman to the Starks, and then turns out otherwise...

ETA: Also, regarding Bran and Rickon, remember that Theon killed all the ravens specifically to keep word from being sent. Ramsay Bolton and his men are going to be the first from outside Winterfell to learn the news -- presumably by capturing and questioning some of Theon's men -- so word won't spread from Winterfell till next season.