Are deserter’s from the Night’s Watch only marked for death as long as they remain in Westeros? Dareon seems pretty brazen about it in Braavos, as if he’s beyond the law (and is unlucky enough for Arya to know about him). And yet “flee to the Free Cities” does not seem top on the priority list of other deserters.

Fleeing to the Free Cities is not easy:

1. You need to either get past customs controls at Eastwatch or somehow get through the whole of the North to get to a port where you won’t be recognized as a deserter. 
2. Passage takes money and unless they’re highborn, deserters are unlikely to have enough money on them. So it’s either stowing away or somehow getting your hands on enough cash, both of which have huge risks.
3. The vast majority of deserters aren’t going to speak the languages of the Free Cities, so life on the other side is going to be very difficult indeed – as Sam and company found, everything in Essos has a price – and without language skills and most likely without much in the way of an education and quite possibly without skills relevant to an urban economy, you’re going to struggle. Best-case scenario is low-wage unskilled labor. 
4. Worst-case scenario, as a penniless foreigner, you get abducted and sold into slavery.