Cersei seems to be well informed about what happened in the Twins and that Daenerys is coming. Yet when she talks about her enemies and allies, she doesn't mention Littlefinger, even though the Vale army isn't a forgettable one. Let's not forget that as far as in Season 5 she considered him a loyal servant of the Crown / House Lannister and she even made a deal with him that she'll make him the Warden of the North if he defeats the Boltons. He did it, thanks to him Jon and co. won over Ramsay.