Varys Imilitude

Stannis will have his hands full with the march on Winterfell. Maybe Selyse's revenge, or a Stannis order sets in motion the plot to kill Jon. Something tells me if they do leave the wall together there will be no stop over in Bravos for an epic Shireen/Arya meeting.

As others have mentioned I think it's safe to say Shireen and her king's blood will end up leaving with Sam, and Gilly. The scene with her teaching Gilly to read made it on screen for a reason. Who knows if Maester Aemon will die before the trip, or not. And I agree the show is better when you just accept that it is a different story, and will never live up to the books. I think the pinnacle of the show will be Dany taking off on Drogon, or the first time all 3 dragon riders saddle up for battle.