Yeah, I'm sure people complained, but the reaction now is on a whole different level. And really, Theon has been through more shit than anyone else on the show.
Well, we don't need to play the oppression olympics here.
Theon's torture was some of the most gruesome shit we've seen on the show (and eventually they did take it over-the-top and I did get tired of seeing it), but at the end of the day Theon's torture served a narrative purpose. It was deserved comeuppance for all of his heinous actions up to that point (let's not forget all the people that died in his attempt to take the North for daddy), and it served to introduce Ramsey and establish how truly fucking sadistic he is. A gross as it was, we needed to see some of that to establish these important points.
Sansa's rape, in comparison, accomplishes nothing like this. Tells us nothing new. Introduces no new elements to the show.