Who said they are going for King's Landing? As was mentioned in the episode, Daenerys will first be establishing alliances in Westeros before attacking. Although conquering a province or two could help with that too.
Two reasons: lack of imagination on the writer's part
, and pressing time constraints. They've done their utmost to eliminate as many secondary plots as they could, or force their conclusions, in order to advance the main story arc.
Daenerys has no time to dally. She needs to get a firm hold over the southern part of Westeros, deal with the other Ironborn fleet, consolidate her power and establish contact with her nephew in the North, move her army there to face the White Walker juggernaut that is about to come. All in two shortened seasons (16 episodes all in all?). She's been dragging her heels enough in
Slaver's Bay Bay of Dragons.
It will be interesting how the White Walkers and their zombie army will manage to cross the Wall (with its magic signs that supposedly prevent them from crossing it, according to Benjen).
