Three younger DragonLords, Rian along with his sons Ardain and Darren "accompanied" the Messenger as far as the Twins. They had an "appointment" with Lord Frey The Great Fornicator and the escape of Edmure Tully and his (bastard) wife to arrange.
Two months later the Messenger arrived in Kings landing. Various functionaries attempted to deliver the scroll themselves but the enchantment burned them. Bronze was easy to enchant in that way. The scroll had been another matter for Aidan, it's message would only be visible to Sansa Stark. At least it was parchment, although papyrus or bark paper would have been easier. Signed from "The Nine" and "Gendry Baratheon", Sansa Stark and Tyron Lanister, who would tell Varys, were to learn some interesting things about the sack of Winterfell, the ambitions of Lord Ballish the Lord of Lies, and other things such as the activities of The Red Witch and the coming darkness.
News of the torching of the Twins by three (magically) enormous dragons was just reaching Kings Landing. News that Lord Edmure was alive and seriously kicking would take longer. A lot of ignorant Lordlings would be wondering if they were Targaryen dragons. Targaryen dragons don't have arms, and are rather small at the moment. Neither can they breath (or throw) frost and lightening.