The small sept in Winterfell had long been demolished, and she was never truly a devout believer in the Seven. There was something... powerful in the ancient godswood that she had never felt in a sept before, and Shireen had realised that praying at the heart tree managed to soothe her otherwise worried heart. And the Old Gods were not as strict, nor did they require any gold and worship, unlike the Seven and R'hllor.