Game of Thrones, in many respects, has more than one pilot episode. There is an argument the entirety of its first season, or at least a sizeable proportion of it, constitutes the introductory beginning. The Kingsroad very much continues layering in themes, concepts, symbols, ideas and character arcs which will pay off across the next half a dozen seasons.
This is where, of course, serialised television differs significantly from traditional storytelling, particularly when adapting literary source material. Game of Thrones isn’t the first serialised show to be described as a ‘novel for television’ (you can go back, at least, to J. Michael Straczynski’s Babylon 5 in the 90’s which considered itself such), but never before had a TV show attempted to adapt such a grand, complex series of novels as George R.R. Martin’s. Unlike plenty of serialised series before it, and indeed which launched afterwards, Game of Thrones from the beginning knew in broad strokes the beginning, middle and at least part of the end, given the majority of A Song of Ice & Fire has long been written. This gives the beginning of the series a confidence many other shows struggle to find or maintain.
Game of Thrones in later series has been accused, not unfairly, of racing through plot beats. Seasons 6 and particularly 7-8 are almost certainly guilty of this, for better or worse. Season 1, however, is already taking its time. The Kingsroad merely builds on what was established in Winter Is Coming, which essentially was not much, in the grand scope of Westeros. It gave us our primary characters around which the entire show would orbit (given if you look at the pilot, the majority of key players are still with us in the final episode). It set up the principal antagonists of the series, and the main narrative through-line of Season 1, being the conspiracy at the heart of King’s Landing.
Foundations. Good foundations but with a huge amount of scope to add more scaffolding to.