Where did the Dothraki go?
Unclear. There’s a clear shot of some Dothraki just chilling by the docks in King’s Landing while Jon makes his sad walk to his boat, but while there’s some clear information about why the Unsullied didn’t riot, kill Jon Snow, and take the city themselves, the same courtesy isn’t given the Dothraki, who were apparently pretty chill about their queen being murdered.
Given that they only came to Westeros to serve Dany and help her kill the men in metal suits and break their stone houses, it’s not clear what they have to do now, especially with their Khaleesi dead. Still, for a Dothraki fighter, the whole Westeros trip was probably a pretty successful vacation, given those goals.
What about the Unsullied?
While Tyrion does offer them land in the Reach and the chance to become a house of Westeros, we see Grey Worm captaining a ship of Unsullied later in the episode, alongside a fleet of similarly black-sailed ships. It’s not entirely clear whether the entire band of Unsullied is joining Grey Worm as he sails to Naath, presumably to liberate Missandei’s people. But it does seem likely that they’re going collectively.
It seems that with or without Daenerys to lead them, the Unsullied will continue to fight to liberate people — a fitting ending for the freed slaves.
Why does the North just get to stay independent?
It’s a little strange that Sansa casually breaks the North away from the rest of the Seven (now Six) Kingdoms in accordance with the North’s well-established independent streak, and the lords of the Vale, the Riverlands, Casterly Rock, Storm’s End, the Reach, and Dorne don’t have the faintest word to say about their own status.
Honestly, there’s no real reason why the North should get its independence — especially since, say, Dorne is a far more independent kingdom, which joined the Seven Kingdoms two centuries after Aegon conquered the others. Dorne has historically been far more independently minded than the North, even though the North’s rebellion against the Iron Throne got a lot more air time on the show.
What’s Daario up to?
Daario Naharis was part of the Mereen subplot on the show. He eventually led the Second Sons, a mercenary company, and was one of Daenerys’ paramours, as well as part of her inner circle when she led the city. But when Daenerys leaves for Westeros at the end of the sixth season, she leaves Daario behind in Meereen alongside the Second Sons, and we haven’t seen him since.
Given his importance to Daenerys and the large military force he commands, it’s possible that the show could have brought him back for the war against Cersei, but it seems like Daario is still stuck in Mereen.