I just don't think they fit well with the Westerosi culture. Dany's answer of 'do what I say or I'll kill you' may be well and good, but is she gonna personally fly Drogon down to the Riverlands anytime a couple Dothraki decide to take what hundreds of years has proven to be theirs? It's like forcing the free folk to settle down into Feudalism; plausible but essentially neuters who they are.