YOU DONT HAVE A UTERUS MAN YOU DONT KNOW
But seriously...yeah, I'd have to say it's just a little more fucked up. It was, in its way, like watching a baby's brains get dashed against a wall. When the stabber goes straight for the fetus and not the woman (although it's obviously intentional that she will be joining it in death,) there's an extra layer of horror; of "fuck you, fuck your ilk and especially fuck your future", that a straightforward killing --even an exotic one-- just doesn't quite say.
Also, consider the male counterpart: we never actually saw R___ B___ filet Theon's junk, yet that happened, and if they'd showed it, the LAST thing anybody'd be talking about is impaling or finger-peeling or being cloven in twain or heads being smashed with rocks or boiled in molten gold.