This is an important point. I think one of book Stannis' major flaws is his willingness to use religion and religious people for his own ends when he doesn't really believe himself. I think a better story would have been Stannis getting burned by this (pardon the pun) by having Shireen sacrificed behind his back by the very religious folks that he has been using. Irony at its best (or worst). Stannis would still have to live with the consequences of his actions in this scenario (placating to religion for his own ends), but it still plays into the doomed tragic figure that book Stannis is. I hope this is the way the book story goes.
But that would be far too complex for D & D. Its much easier to paint him as a religious fanatic burning his own daughter in order to show the evils of religion. They laid the ground work for this back in season 2 by always playing that evil music during all of Stannis' scenes, among other things. I think they made Mel too one dimensional as well. All of my shownly friends think she is pure evil, along with Stannis (even before this last episode). They kept asking me why Jon Snow would even associate with these wicked people.