What’s with the lack of proselytizing in Planetos? Shouldn’t we be seeing more of the Faith in Essos and the Red God in Westeros?

Well, the lack of West-to-East proselytizing in the Faith can be explained by the fact that the people most likely to listen (i.e, the people of Andal heritage living in Andalos) are probably already members of the Faith, and the Faith views Westeros as the Holy Land, which promotes a certain Western focus. 

As for the Red God, they do have temples in Westeros and more missionaries than any other religion…