By all rights, there should be massive consequences. Namely, Daenerys's plan to take the Iron Throne should be kapoot. All she really has left is her dragons. First she lost her Ironborn fleet and Dorne allies. Then she lost her Highgarden allies. Then she lost one of her dragons. And now she's lost the Dothraki and Unsullied armies that placed her at near goddess status, plus her most loyal lieutenant. All she has left are her foreign advisers and two dragons.
Yara's still around, but she doesn't have much of a fleet (though the writers might just hand wave a third Iron Fleet into being). The North and the Vales's manpower is presumably decimated and they'd be wise to use the winter and the Vale as protection while they rebuild instead of trying to go on the attack. Heck, maybe Cercei's money will run out and she'll lose her army.
One thing that makes zero sense is for these stubborn, independent-minded, battle-wary people who have just survived two meat-grinder battles in a row, not to mention that war Robb lost a few years back, to turn around and follow this Queen without a throne or an army who they never would have aligned with in the first place if not for the zombiepocalypse knocking on their back door.
By all rights when Daenerys suggests taking King's Landing next episode, everyone in the room should laugh in her face. But I suspect they won't. A magical new army will materialize again and off they'll go.
That's what I mean when I say there won't be any real consequences. If you watch the preview for the next episode, that's exactly what seems to be happening.