There's only one answer - they're not essential (yet?) for the story HBO is telling. HBO's priority is making that story into one which works on television, not preserving everything from the books.
I say "yet?" because, with the possible exceptions of Arianne and Quentyn (who appear to have gone the way of Garlan Tyrell), there's always the possibility they could be introduced with adapted stories should they become necessary. For example, I was convinced Ser Dontas had been written out of the show when he didn't repeatedly meet with Sansa like in the books, and I was expecting someone like Brienne to do an adapted version of his role. Instead, he was reintroduced at the last minute, with a much shorter version of his story, with just enough context for the plot and no more.
It all hinges on what happens in books unwritten. We know that the show intends to very roughly follow the trajectory of the books GRRM hasn't written yet, which presumably means the fates of the families overall and A-list characters like Dany and Tyrion will broadly match. Will Aegon, Euron, Victarion etc be irreplacable parts of this core story? If so, don't be surprised if they are rapidly introduced later - when they start to become essential, and no sooner.
Update now Season 6 is out:
Euron has suddenly appeared, and rapidly reached a point similar to where he ends in A Dance With Dragons, ready to start taking a part in the main plot.
Interestingly, his actor is someone quite different to what many book readers expected - someone less suited to fearsome imposing villains, more associated with playing complex, troubled, ambiguous enigmas.
This is why no-one involved in the show's production will or should comment. If they say, for example, that Connington is definitively cut, ruling out the possibility of him making a surprise appearance, then that's a spoiler for books that haven't been written yet. It'd strongly suggest that he's not going to have an irreplaceable role in the central story.