The Dorne king watching over the water gardens referred to Myrcella as a Lannister. Isn't her last name officially supposed to be Baratheon?
It should, but Myrcella and brothers has been named differently than anyone else. When spoken of in formal terms (as in "lord of the seven kingdoms, protector of the realm, king of the Andals, noun of the noun..."), king Joffrey was "of the houses Baratheon and Lannister", probably king Tommen too. I don't get that, the king in the North was Robb of house Stark, not houses Stark and Tully. King Robert was of house Baratheon, not houses Baratheon and his mothers house (which only the books have named, so censored I guess). Stannis too, and if there is one thing Ser Davos will get right it's these formalities. The books (at least first one) do the same.
Everyone knows they are pure-blooded Lannisters, so maybe Lannister is just rolling with it now.
Until now, Ramsay had not touched Sansa IIRC. I don't think anyone bought the apparent good-guy attitude, but maybe there was a point to show that she wasn't any different to his other girls in the end. I also think Reek will break eventually. Not necessarily to a happy ending, but if he doesn't, they have spent a lot of screen time poorly.
Sand sisters looked like they wanted to have a Matrix-style fight scene. They couldn't go Matrix all the way and break laws of physics, because that's not how the show works (except for dragons). So it got half-assed, and was a poor end result.