On Arya and Sansa, they filmed a scene where Sansa goes to see Bron and talk about what Littlefinger is up to, but it was cut from the show.
This series has been OK, but continued the downward trend for the show as a whole. Also Jon Snow is the biggest idiot around. If he hadn't gone North on his silly suicide mission the Night King wouldn't have got a dragon and been able to burn down the wall.
On his escape by horse, my guess as to why his uncle didn't go with him would be that he stayed to distract the undead so Jon can escape. If they had both got on the horse it is possible that the undead could have caught them as the horse would have been slower.