From Theon, all the way to his death by Sansa & the dogs. That's one of the things that, IMO, highlights the phenomenon you reference concerning the shift towards exhibitionism. In the books, the degradation of Theon was largely off-screen, until he was brought out to attend Ramsay for the wedding & to get the ironborn to surrender. There was maybe a single mention that he had Theon captive in between the fall of Winterfell, and the emergence of "Reek". Since the show has proven they can call back actors after several years of being gone, like Gendry, it can't have been a case of needing to keep Alfie Allen busy until Theon is needed again, nor was Allen the sort of fan favorite character like Tyrion, whom people tuned in to see. And Allen is probably not so in demand as an actor that it's a case of "use him or lose him." They included the torture arc just for the sake of having bad things happen.