@R.E.N. Spells Ren here is where I am having trouble reconciling Stannis dying narratively:
You are correct that the "you play the Game of Thrones, you win or you die" can be applied to his quick destruction at the hands of the Boltons. So I have no probelm with his army's destruction
Where this all falls apart narratively stems from Melisandre's behavior towards him throughout the show and the specific words she uses towards him.
1) "You will betray the men who serve you. You will betray your family and everything you hold dear. And it will all be worth it in the end" -- Here, her visions proved true except the last one
2) "Look into the fire Stannis" -- Stannis himself looked into the fire and saw himself as a conquerer
3) "You must go North. Only you can save the kingdom from the real threat to come" -- She saw the upcoming White Walker invasion and that Stannis needed to unite the North to save the realm
4) "I saw Bolton flags burning" -- Self explanatory
Every one of these prophecies needs to be reconciled otherwise his arc is not complete. We know for a fact that her fire visions are real, because it has been proven. So the only explanation is that she misinterpreted all of these visions.
3 and 4 are explainable. She could have had visions of Bolton defeat and Northern unity and not actually seen Stannis as the cause for them. She may have just assumed that he was the man to do it.
But 1 and 2 are not so easily explainable. You know what it reeks of? It reeks of future events being set up in past seasons, then just being flat out dropped when they wrote Season 5. "Oh shyt, we don't have time to finish this story in 20 more episodes. We need to start eliminating characters that take up screen time. Hey look, Stannis isn't going to be a part of the end game anyway so lets just kill him now! That would be shocking!"
I hope that HBO didn't do this. I hope he is still alive. And if he isn't, Melisandre has some explaining to do.