It could be that Selyse actually saw her like that, the dialogue and scene seems VERY different if that was true.

The choker. She took off the choker. Don’t ever take off the choker.

But the spear through the face was all good?

I think it tells us something important, though. Melisandre has been doing what she does for a very, very, very long time. So for her to face a crisis of faith now, after all that time presumably having it continue unshaken, is that much more significant.