It's it explicitly explained why Areo stayed in Dorne and is devoted to Doran instead of returning with Mellario and being devoted to her?
Even entering the service of House Martel, it strikes me as odd that he wouldn't be a default assumption to go with her "on behalf" of the Martels but also just because he was hers and why would that change? Especially given that there wasn't peace in that marriage and psychology suggests he'd side with her (yes, serve & obey ... protect... but who?) and that would be a barrier.
I'm thinking there should... or would be, if it was explicitly addressed... a stray thought or two of his that would indicate a rift or - ... something.