Rhaenys is in full armor, because her armor is kept near her dragon. Pretty simple.

As for not torching everyone, yes of course there is some element of plot armor since the show would literally be over. However, they just declared Aegon King. The Dance and all the killings haven't started yet. I'm fine with her showing a little mercy and getting to Dragonstone ASAP. She doesn't really know how much this will escalate, so perhaps she thought that torching a huge portion of her family (and the late King's children) was too extreme.

At this moment, she doesn't know the blood and heartache that will occur.

Makes sense to me.