As much as it sucked, killing the princess makes sense for the show. Just a few episodes ago, Stannis gives this tearjerking speech about how she's his daughter, and he would do anything for her. But then it is revealed that there's only one thing stronger than his love for his daughter - his obsession with the Iron Throne. So now he's beyond any hope of redemption, and even he knows it.
I'm still hoping he kills the Boltons, though. For some reason I find them even more repulsive and I'm not sure why. But then Ser Davos needs to avenge the little girl next season.