Benjen being Coldhands is probably going to happen in the book as well. Remember, in the book Coldhands never reveals his face, so it's likely that GRRM did that on purpose so that Coldhands could eventually turn out to be Benjen down the road. The way that Coldhands was introduced is different in the show than in the book (Coldhands shows up to help Sam get back to the wall, and helps Bran get to the Three Eyed Raven), but it also gives an opportunity to bring in more characters from the book into the show, even if the exact timelines don't match up (could we see Lady Stoneheart? Possibly!). Again, my only concern is that they still have a shit ton of plots going on here, and if HBO is to be believed, we have exactly 20 episodes left of the show. Not a lot of time to get all this finished.