Game of Thrones gives, and Game of Thrones taketh away. It was kind of a small miracle so many characters survived the Battle of Winterfell, considering all that happened. The dead, after all, are not an easy foe to beat, as viewers discovered at Hardhome back in Season 5. When the dead started coming out of the crypts down below Winterfell, it seemed like even the women and children who had gone there for safety might not survive. Warning: Spoilers for Game of Thrones Season 8 follow. But the show was saving some of those characters to kill off later. Missandei's death scene was one of the most heartbreaking, all the more so because she survived up until now.
Of the Grey Worm-Missandei couple, most would have put their money on Grey Worm being the first to go. Their conversation back in Season 8 Episode 2 — "A Knight Of The Seven Kingdoms" — where Missandei talks about wanting to go home to Naarth and see her home again after all this was over was a big flashing neon sign someone in that conversation wouldn't survive. As Grey Worm promised not only to take her there but become the defender of her people, most assumed the answer was him.
Grey Worm lived. Missandei, on the other hand, was not so lucky.
Missandei's capture by Cersei was something no one saw coming, even if Daenerys and company were too blind to realize the danger they were walking into. But even so, Daenerys' attempts to bargain with Cersei, to get Missandei back, to maybe come out of this having lost her dragon would have, in other circumstances, have been a winning formula.
But not against Cersei. This is the woman who blew up the Sept and took out the entirety of House Tyrell. She wasn't just going to kill Daenerys' advisor. She was going to do it in a way that was going to make it hurt.
And so, standing on the top of the King's Landing gates, in front of all who cared to watch, Cersei had the Mountain behead Missandei. It was the most horrifying beheading since Ned Stark in Season 1.
Pity Grey Worm, who just lost the woman who loved him. His last-minute flinch was more painful than if Cersei had taken his head off.
Pity Missandei, who followed Daenerys to a cold, wintry land to conquer, only to never see it through.
And pity King's Landing above all. While Daenerys has plenty of advisory counsel, Jorah Mormont and Missandei represented the angels on Daenerys shoulders. They were her guidewires and the ones who could keep her on track. Tyrion always tried to talk Daenerys out of her fire and blood plans to burn them all, but he failed every time. Missandei, on the other hand, could simply look at her boss and the Targaryen queen would find herself reconsidering.
Cersei, and King's Landing, has a huge problem now. Daenerys has just lost the last thing tying her to a humane siege of the capital city. In the end, it will only take one dragon to make Dany Queen of the Ashes.