I don't see a problem with Sansa. She's just a girl who thinks she's in a fairytale story where she's the princess and Joffrey is her Prince Charming. Unfortunately, she is very Wrong Genre Savvy once she realize she isn't living in a fairytale but a harsh reality where Joffrey's a prick, his mother is a bitch, nobody is black or white but gray, politics is dirty and people can be brutal and violent.
By the 4th episode, she realizes what kind a world she is getting into and how unforgiving it is.
And now for something to brighten the mood.
Here are the Japanese covers of the Song of Ice and Fire Novels which Game of Throne is based on. And they're very pretty.
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