It has to do with certain character archetypes that usually have plot armor. The most glaring example is the Pregnant Woman. In just about every form of media, when there is a pregnant woman, she's going to live (at least long enough to give birth). Because infanticide is just something we don't really get behind as a society. So when you see a pregnant woman, and they've spent time building up this "Twu Luv" story arc between her and the Noble King, you assume they are going to live, perhaps they die later, and their kid becomes the Final Hero, continuing their legacy or something, but they will usually live at least long enough for the mother to go into labor at the worst possible moment for the heroes. The only other recent example I can think of to break this trope, aside from GoT, is Fury Road.
So when you have a story where the pregnant woman gets shivved in her belly, and violently killed herself, along with every other protagonist aligned character in the scene, it sort of tears down our pre-conceived assumptions about types of characters, and their survivability.
Also, children in general tend to have Plot Armor, take Stannis' daughter. She hits several Usually Don't Die tropes. Only child of a stoic and distant father, suffering from a debilitating disease/deformity since childhood, gentle innocent nature, spends her time teaching a beloved elder friend how to read, etc etc. That kind of character usually survives, and becomes a kind of healing religous/political figure in the aftermath, to help heal the wounds of the war. But no, she gets burned alive as part of a blood sacrifice to a god.
Also, animals usually have plot armor, particularly beloved pets that seem to have a Mystic Bond with their humans. Unless it's a movie like Old Yeller, those tend to survive, because like children, as a whole, we don't tend to enjoy seeing animals be harmed. In fact it's a really easy visual short hand used to tell the audience who the Bad Guy is. Have them hurt an animal, or slap a woman, and they're instantly categorized as the Bad Guy. So having the wolves die left and right in GoT helps to further break the most common types of survivors we see in these type stories.
It's not a permanent rule of course, and I'm sure people could delve and find other examples where these tropes don't happen, but in your standard mass media, particularly tv shows, these are very common tropes that have been used for decades, and are pretty ingrained in our heads as How The Story Should Go.
