I have added two expansions to my core set. They have neutral cards regarding the wildling horde and the nightwatch (from the Defenders of the North).

Where do those cards belong with house Stark? or is this a different set not for playing?

Neutral cards are normally used for any house where you may build your deck revolving around that house with the help of those neutral cards.

They don't belong to a specific house in particular, but may work better with some of the cards in some houses over others.

Night's watch has appeared to work decently with Stark, Lannister, and Baratheon houses from what I've read.

I do not know what is best with Wildling yet, but they may work decently with any house if the deck is built right.