I was expecting either a new subplot or divergence form the story but S3e4 seems to indicate it was just a little extra filler, and IMO unless they take some time in the next episode to explain that it is going to be very confusing for TV-only fans. Right now form their perspective he isn't even named yet, just some weird SOB who freed Theon, murdered his pursuers, then tricked him into returning to torment at a different place but the same set up with the same people. Kinda WTF, for book fans we can at least guess this is Ramsay screwing with Theon while murdering rivals for fun and profit. It seems like they just hastily threw together something to keep Theon in the show.
- Albert Einstein
King of Cairhien 20-7-2
Chancellor of the Landsraad, Archduke of Is'Mod