This way, the Boltons will get all the relevant information they got in the books via Ramsay/Reek. (OK, of course Ramsay could have tortured the truths out of Theon but I suppose the Boltons want to do the torture in Dreadfort and it???s a long way from Winterfell, so the planned escape would be faster way ??? and of course a kind of method of mental torture too???)