Why isnt the like of stannis and denearys concerned about the white walkers? Everything other than stopping that army should be irrelevant.
Stannis is extremely concerned about the White Walkers, that's why he showed up at the Wall and protected the Night's Watch last season. It's one of the reasons why he absolutely should be king.
For Melisandre it's even more important, she wants Stannis on the throne precisely because she is convinced that he's the only one who can save Westeros from the White Walkers. Her religion is basically revolves around the fight between R'hllor, the god of fire that she serves, and his counterpart, "The Great Other", who represents cold and death and is associated with winter and the White Walkers.
As for the rest, the White Walkers are generally believed to be fairytales, they haven't been around for thousands of years. Especially Daenerys (or however you spell her) probably doesn't even know about this at all. The others were theoretically informed by the ravens that Jon sent out last season or something, but either don't believe it, or think he's vastly exaggerating the threat. Of course it seems as if they're being incredibly neglecting, and caught up in their comparitavely superficial and arbitrary power struggles with what we know, but their actions also make a lot of sense from their point of view and the amount of information they have.
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Deanearys needs to die but if there's one character who can't die it's her because her story is caught up in too many story lines.
I don't think that she'll die anytime soon either, but her death would sort of fit the pattern of important GoT deaths. That is to say that it wouldn't be more surprising or unconvential than the Red Wedding or Ned's death.