I thought the same when I first saw the episode, but the more I think about it, the more I think the corset is actually a signal that she will eventually marry and/or have children. It's the softest look we've seen her in ages, and the corset seems far more delicate and open than her more other choices. YMMV, but I took the fact that Sansa's corset had so many openings to be a sign that Sansa herself was just beginning to open up.