Sansa knows the political side of things better than Jon does (which is a lesson he has slowly, if somewhat reluctantly at times, been learning) so if she can't make sense of it, there's no hope that he will. He wins the battles; she tries to make it so that they don't need them in the first place.

"Indeed you do." Even he knows the importance of allies, and not just for political reasons. "You know Targaryens?" Color him surprised, considering how she feels about Danaerys.