I think one of the points of the high sparrow is that he is entirely a creation of Cersei - she pretty much acted on her own authority to arm the faith and give him ridiculous amounts of power, totally underestimating him because he was a dirty barefoot slob and she was a high and mighty Lannister. Having the Sparrow being manipulated by littlefinger or varys really dilutes Cersei; the whole problem with the Faith is one that is totally of her own making, as Olenna pointed out last week.
And I am sure that the Knights of the Vale are showing up next week, though it wouldn't surprise me if they ended up slaughtering the Wildlings instead of the Boltons.