It sounds like they're making a show that has very little to do with Game of Thrones but they're using character names and the branding to bring attention to it. It will have no fantasy elements, no special effects and will be set in 1857 India. Good luck to them. Hope they don't get their asses sued.
On the show, RIckon and Osha were sent to the Last Hearth so presumably the Umbers would be aware if they were still there or had moved on to somewhere like Skagos.
If Davos does link up with his book storyline to search for Rickon, someone affiliated with the Umbers would be the most likely individual to give him the necessary information. You probably have Umbers at Winterfell so it stands to reason that Davos finds his way there at some point (with Stannis or perhaps subbing in for Mance on the undercover mission there) and that's where he gets the info he needs to go on the Rickon mission.
It's unlikely he gets that info at the Wall and this is probably the main reason why they have Davos staying with Stannis for now, instead of the whole White Harbor deal (which along with the Manderly's has been cut from the show).
Whenever we see an indication of the Umbers, that's going to be the time where the Rickon mission is revealed. There's no other good reason why the show went out of their way to tell the audience that this is where Rickon and Osha were going back in S3.
Although if they're going to maintain a BwB plot with Beric, then it really makes very little sense to not just maintain LSH (unless you just aren't able to get Fairley back, which doesn't seem to be the issue).
At this point, the Iron Island stuff is a complete mystery. It runs from the range of possibility of maintaining everything from the books to not having any of them at all outside of those who have already been introduced. I think we'll land somewhere in the middle with one Greyjoy uncle cut.