GRRM will have something to say about that when the novels are done.
I actually see Sansa Stark evolving more over limited screen time over 4 seasons. Tony Soprano throughout the whole entire show, never had much of a character arc. He was pretty much the same person at the end of the show as he was at the beginning, except fatter and with less hair. We did get to see all sides of T through the seasons, yes, and he was a charismatic character, yes. And the show's writing and acting were top notch, yes. Unravel deeply? No.
Most of your concerns with GoT character development really stems from 1) limited screen time for each character, and 2) show writers forced to write fluff to extend the season (Arya and Dany are the best examples this season - and Sansa is the counter-example as her storyline is very much on pace with the books).
This is why we enjoy Dany so much in S1, Arya so much in S2, Jaime so much in S3 and Sansa so much now. Different characters have their peaks and valleys.