For the first part about the horns, oh yeaaaaaah, I totally didn't remember that. Now I understand why that's a blatant hint.
As for the second part, I may not have made myself clear, but I'm not saying anything all that different than you are. I know the show has obviously been making this character a mystery, but its not a mysterious character that we as watchers of the show know or care about. My point is, say next episode the kid tells Theon, "I'm Roose Bolton's bastard!", I don't really see why we as the viewer are supposed to gasp, so I'm confused as to why they made it mysterious in the first place instead of just introducing him as Bolton's bastard. That's why I said that I feel like this whole thing is something meant for book readers and is going right over my head.
Unless the big reveal is just supposed to be that someone so crazy and shitty is currently under the employ of someone so close to Robb and that now Roose will have info on the younger Starks that he can do whatever he wants with