Jburman82, the last 5 seasons of the show have had no problem killing off key character after key character so I don't or didn't see a reason for his death to be any different.The world still goes on and another person enters.
But... I have not read the books and you're comments are interesting. I had not even thought about or realized any of that.
I still think he is dead though... but I thought Stannis would kill the Boltons and Jon Snow would end up in a situation where he had to help Stanis.
I am looking forward to season 6.