Doran had all the reasons to send an envoy,because he knew there was a possible alliance and maybe this Aegon may even be related to Daenerys' cause (like he's her van or something). But sending his heir makes it too official, at least for the outside eyes. If a spy of the Iron Throne notices it, it would endanger Nymeria and Tyene, who are at KL. Maybe he could've sent some Santagar, under the excuse that he was checking the Santagar heir, who is in Estermont, to scout for a possible alliance an make sure it was worth the risk.