Arya's Faceless Man training takes up her storyline in seasons four and five. (As far as the books go, she is still in the temple completing her training, which means at least three of the books are dedicated to Arya's learning the skills.) This ability is a huge deal for her character, and it seems unlikely that R.R. Martin would have gone to all that trouble creating the arc just to give Lord Walder Frey an interesting death.