Here's some armchair speculation ... but maybe there's a chance things might be slowed up by the Licensor? These things generally have to jump through hoop after hoop after hoop to get all the approvals by folks in the marketing and legal departments (not to mention the actors themselves). And with a company like AMC, who seem to be fairly new to the merchandising game, this may be taking longer than it might with a company like, say, Lucasfilm. That might explain why the pets came out first ... because the leads weren't involved, many fewer approvals were needed.
Maybe that could also be part of what's holding up the Game of Thrones figures?
Just a thought ...