Maybe they do Old Valyria.
Maybe they do Aegon's conquest.
They definitely left open possibilities with further stories for Arya, Sansa, Jon, Bran, Tyrion and even Daenerys. Although this would be bad unless GRRM writes it. (He won't)
My idea for HoTD was that it should have been narrated by Bran to Sam. Sam could have been reading old scrolls as usual and comes across the contradictory stories from the Dance of the Dragons. Nobody knows what truly happened then because of the different versions left by the 3 different "historians". Exactly like it is presented in the books. Sam doesn't know which account of the events to trust until Bran steps in to tell him the real story. (Via the weirwood network) And that makes the show canon for the official history of the war. (Which is basically what we are getting)
Additionally, I would love it if GRRM could finish his Dunk and Egg novellas, but I highly doubt he will. So this new show is a vehicle for us to get further stories of the duo's adventures, so I'm thankful for the possibility that we see "The She Wolves of Winterfell," and "Summerhall" play out on screen instead of on pages.