I agree with this and thought the same last night when I saw his reaction. I think Theon's right hand man called that move both as a power play to the people of Winterfell and to test Theon's stones.
I agree with this...but not for the same reason. I have a feeling he is a spy for the Lannister's. And no I have not read any of the books.
Just something about that guy rubs me the wrong way and he happens to be serving Theon who is severly insecure IMO. The perfect person for him to prey on.