It's not a glamoured Wildling -
Show!Mance was burned by Stannis and Mel in the first episode of Season 5, deep-sixing the two-way glamouring that Book!Mel did in ADwD (plus Tormund killed The Lord of Bones/Rattleshirt at Hardhome in Episode 8 ).
You're not alone in searching for a hope spot, but in this instance, what you see is what you get. The actor portraying Rickon has confirmed that it was Shaggydog's head on a meathook:
Theories about Shaggy actually being alive immediately started popping up online, with many thinking Shaggy’s head was just too small to be a direwolf’s. So was it actually Shaggy?
“Uh, yeah, I’d say so,” Rickon Stark himself, actor Art Parkinson, told The Huffington Post in an interview. The actor continued, “It was a little bit disappointing because, you know, looking at the dogs we had on set ... and that you’d never really get to hang out with them again. When I read that Shaggydog was dead, I was definitely a little upset.”
http://www.huffingtonpost.com/entry/game-of-thrones-art-parkinson_us_5730d3c3e4b016f378968aeeIn this instance, what we see is what we get - the Show!Umbers have handed over Osha and Rickon in order to get Bolton support in fighting the Wildings whom Jon let through the Wall after the Hardhome disaster. So it looks like what is popularly known by book fandom as the Great Northern Conspiracy* has been nuked.
Since the late and unlamented Joffrey's well-earned demise, Ramsay's been built up by the show as some kind of uber-villain, so having the Show!Umbers be arseholes and hand over Rickon is consistent with building Ramsay up just that bit more before he presumably gets his desserts at BastardBowl 2016. Only before that happens, the audience will have to go through another "
oh, you utter bastard...
" moment, just so they are
really invested in Ramsay's downfall.
Oh, and one more thing - a loose definition of a
shaggy dog story is any story with an excessively long buildup for an unrewarding or even infuriating ending, often times a pun.
*
Which revolves around Wyman Manderley sending Davos to recover Rickon from Skagos and using him as a figurehead to rally the North, after they have royally fecked over the Boltons and Freys in Winterfell. 
