I still haven't gotten around to watching the show but I agree that that was a really effective approach in the books. The whole point GRRM was going for was to provide a stark contrast between the brash and cocky Theon and the beaten down and pathetic Reek, and it was so powerful because of the way that it was just kind of thrown at you for you to piece together yourself. GRRM was able to evoke a lot of different feelings and emotions from the reader by doing it this way, from the initial shock and realization of seeing what he'd become, to disgust and pity when you saw how pathetic he'd really become, to sympathy and understanding as more of the back-story comes through, to hoping he can get back to the way he was before or at least get his life back on track in some way, even if you didn't like him before. I feel a lot of that would be lost by seeing how he transitioned into Reek.