They didn't think a dragon was coming back because they don't think they can swim.
I'm still trying to figure how they pulled the deep sea diving expedition to get it in the first place
This is how I look at it.
We as viewers catch the things like Wights not being able to swim, where did they get the chains, how did they get the chains down there and around the dragon, why not just have the Dragon land on frozen land and not go into the sea, that way the audience won't ask these questions.
End result was the Table of Writers thought it would be a lot cooler end scene to see the WIghts dragging the Beast from the Lake, and then turning him to the Dragon WIght.
I think they made the right decision to do what they did with the chains and Wights swimming down to pull the Dragon etc.
It was a dope scene.
I know it doesn't make sense, but I also know that the writers discussed these things as well and decided to give me, the viewer, a much cooler end scene.
I don't need to question everything.
Here I just appreciate the scene we got.
I don't want to see a Dead Dragon laying on frozen Tundra while a Walker walks over and turns it. That's boring.
I like what we got.
I'd rather see what they gave us.
But best beleive they discussed the "unreallness" the scene would have.
For sure.