The Red Women in the show are simply priestesses in the faith of R'hllor. They are nothing special, except the one we follow through the show called "Melisandre"
This second one has no special role beyond that single episode in the series, so she is simply not mentioned anymore later.
You can read more about the cult and the red priests / priestesses in the Game of Thronse Wiki Page.
Here is an excerpt from that page:
Red Priests and Red Priestesses are the clergy in the faith of R'hllor, the Lord of Light, and receive their name from the red clothing they wear. They appear to possess a multitude of ambiguous supernatural abilities, which are believed to be the gifts of the Lord Himself.
As seen on that page as well there are a LOT of mentions of red priests / priestesses in the series:
Known Red Priests
- Melisandre, from Asshai. Called "the Red Woman", also a shadowbinder. Former adviser to Stannis Baratheon and Jon Snow.
- Thoros, from the Free City of Myr. Participated in the Siege of Pyke, fighting with a flaming sword. Became a member of the Brotherhood Without Banners before ultimately perishing during the Wight Hunt north of the Wall.
- High Priest of Myr.
- A Red Priestess in Volantis.
- A Red Priestess in Meereen.
- Zanrush, a Red Priest active in Meereen.
- Kinvara, High Priestess of the Red Temple of Volantis.
As you specifically ask about a Red Woman in one of the later seasons your question seems to be about Kinvara (appearing in Season 6).
Thanx @TheLetalCarrot for pointing this out.