I am intrigued by the change but I want to see how it plays out before passing judgment one way or the other. Depending on the creativity of the resolution, this could be a great storyline change or an awful one. If the dragon rescue ends up just being all slap-dick action sequences I will be very disappointed.
One thing's for certain - it's given book readers a genuine shock and a mystery to watch unfold, which puts us in the same position as non-readers. Kinda exciting!
My personal theory is that Xaro has something to do with it, and that Pyat Pree is being set up as a catspaw for the audience's (and perhaps Dany's) benefit. XXD in the series comes off as a smooth operator but there's plenty more to him than meets the eye. He even tells Dany that he didn't become the richest man in Qarth by following all the rules of polite society.
I am so glad to see someone else saying this because I thought it was Xaro, too. TV Xaro is too perfect, and they need to make some way for things to go sour between him and Dany. In the book, he wants her to forget about the Seven Kingdoms and sail away on a pleasure barg with him, forgetting about everything she is fighting for and entering a loveless marriage. In the show, he is offering her ships, his vast wealth and pretty much anything she would need to conquer the Seven Kingdoms. It would be odd if she didn't consider his proposal even though Jorah told her to make her own way, Xaro has given her a very sweet deal that show viewers wouldn't understand why she would pass it up (I know my fiance said, "She marries him, right?")
Also, Xaro takes her to the Spice King and has her waiting a very long - something he could have set up to keep her gone longer. The are in his home, and it seems strange that richest man in Qarth would have a place that could be broken into so easily. If Dany's people saw Xaro's people coming, they would have been caught off guard at first because they trust them. We know Xaro really wanted a dragon in the books, and he tells Dany he's done a lot of shady stuff to get to where he's at so I wouldn't put it past him to steal the dragons. The warlocks can do some magic tricks, but are they good warriors? Could they have killed so many of Dany's people that easily? I don't think so.
I could see Xaro blaming it on the warlocks, and Dany going to the House of the Undying and learning the truth. That is just what I lean toward, but I wouldn't be disappointed or surprised if the warlocks did steal the dragons. I think they would work in that storyline, too, and would like to see all three dragons help Dany escape.
This is definitely a change I didn't mind. I absolutely love the books, but it is exciting to not know where they are going with the story. It adds drama and fun because we book readers don't know everything that is going to happen. And as others have said, I think it adds some more interesting drama for Dany's story.