I think Davos having a psychic link with the Deep Ones will come into play later on, he will receive frightful visions that try to convince him to do something that furthers the agenda of the Deep Ones.

I think he will be vulnerable to this due to Stannis/Melisandre burning Shireen (which I do believe will happen), who Davos is very close to. Sacrificing children has always been his moral red line and this will drive him to do something extreme, perhaps guided by the Deep Ones.

It makes sense that Patchface will be burned at the same time, as the only reason anyone suffers him to be around is because Shireen likes him.

Do you see how these things are all wrapped up together?