If you kill the High Sparrow now you make him into a martyr and the people will rip the Lannisters and Tyrells down from their positions of power. That's what it means by he has won. He's gotten the King to admit the equality of the Faith to the Crown in front of the people who cheered wildly. If he gets assassinated, the people of King's Landing wouldn't stand for it.
Anyways, in the Riverlands it seems they are teasing book readers: