Nameless
Member
It's not smoldering as he gives his speech. Those are normal smoke plumes from nearby fires. The place is just grim and depressing looking. It wasn't burning when he was knocked out, they put a bag on his head, it's burned when Bran and the others see it, and we start this season with a bag being taken off of Theon's head. If any of the ironborn burned Winterfell, it was not Theon that gave the command.
http://www.youtube.com/watch?v=HaU_VpMu0cE
Luwin gives us a rough idea of the time table since it couldn't have been more than a matter of hours between him getting speared by Theon's henchman and Bran finding him bleeding out. Sure, at the very latest the Iron Islanders burned it as they were moving out. My main point stands that there's no reason to believe another faction is to blame, at least not directly.