Yes, we already saw the Red Keep sacked in Dany’s vision, so it’s probably going to happen. It would be ironic if she ended up doing it; I’m expecting the Mad King to come out in her at some point. Maybe Cersei will kill Jorah or Daario, and she’ll go apeshit and unleash her dragons on it. One dragon could nuke that place, and Flea Bottom would probably go up like kindling, killing thousands of peasants in minutes.
It will be interesting to see how everything ends up. Like you said, most of the great houses are effectively extinct (Baratheon, Martell, Tyrell, Aaryn, Tully) or on their way out (Lannister, Greyjoy). There’s not a lot of leadership left there. Most of the lesser houses we’ve seen like Tarly, Manderly, Frey, and Karstark are twats, so it’s probably safe to assume that that’s the norm.
They could possibly go back to the old ways before the Targaryen Conquest, with multiple disunited kingdoms, or try to establish some kind of new governemt like a parliament or republic — though with six episodes and a lot of plot to cover, it’s doubtful we’ll see the start of any kind of new order.
It’s kind of like, someone like Jon (or Dany if she doesn’t go cray cray) will have to take over, or Westeros will descend into anarchy, especially if winter comes and food and other supplies run short. Maybe Jon would end up leading what’s left of Westeros under a Mance Rayder model, uniting what’s left of Westeros enough to make it through the coming winter and give them a dream of spring…