Dany is introduced to these elite eunuch slave soldiers, setting the stage for her moral conflict regarding slavery versus the need for a throne.
Still a prisoner in all but name, she is approached by Littlefinger with a vague promise of escape, highlighting her continued role as a pawn in the larger political game. Daenerys: The Mother of Dragons Grows
From Davos Seaworth’s unwavering (and dangerous) loyalty to Stannis, to Barristan’s new oath to Dany, the episode asks what it means to "serve."
The episode explores how power is maintained after a crisis. For Tywin, it is through lineage; for Margaery, it is through public image; for Mance, it is through unity.