Understandable but they didn't really "need" to film any scenes of her actually collecting witches. She only had to arrive at Winterfell with them, instead of being alone, with a simple line of exposition "I collected as many red witches as I could find" and the audience would had understood what her purpose was, but I'm guessing that'd be more CGI, more actors & horses, more filming etc and the show doesn't have the time/budget anymore for those "nice but not 100% necessary" bits.
100% Agree, how much more effort would it have been to swap out 15/20 Dothraki riders for Red Priests? only thing that would need to change would be a few extra costumes.