I see nothing wrong with the warlock's death. He was fascinated with them, and he felt confident enough with his powers. You guys forget the dragon fire is not like normal fire (going from what's been stated in the show), so likely if it hit him just a little bit, it couldn't be extinguished. Basically, he was dead the time that flame hit him.
Also, his magic being linked to the dragons could make it that he was feeble when they turned against him or that he requires concentration to make it work.
I really liked the episode, Dany was amazing and so divine. I want her to be queen! And I loved what he did to the vault guy. I just fucking love the female cast. Does anyone think that Margaery is amazing? She knows how to play the game of being queen, and she could probably rule over Joffrey. I wonder how faithful the Tyrells will be to the Lannisters, but they really are an interesting lot. After all, she was on Renly's side, but I'm starting to think it was only her ambition to be queen (particularly for what she said to Littlefinger after Renly's death, even if she seemed honestly apalled by his fate).