Davos is shocked that the Freys would murder their wedding guests. It is clearly very shocking to everyone. Melisandre wants to sacrifice Edric Storm to make a stone dragon come to life. So that's what it's for. Some from a leech is enough to kill someone, but to make a dragon come to life you need a whole boy king. Stannis and Davos aren't up for murder, though, for now at least. Davos is even skeptical that the deaths of Robb and Greyjoy aren't just coincidence. Joffrey is still alive, but for how long? Are we going to have another fun wedding?
Davos has been making friends with people who still worship the seven gods, and Salladhor Saan is onto him. He keeps reaching for his bag of fingers, which must be a bit of a tell. Davos doesn't think he's worthy of being the hand but Saan can see what Stannis gets from Davos: some no nonsense plain speaking is very useful to a king.
Davos is learning to read and finds out about the problems up at the wall. But neither he nor Stannis will do anything about it. Will it just be a few wildlings, or something worse?