Given the fact that Drogon burned all the extra food from the Reach during the Loot Train Battle, they have every reason to start pillaging as there is no way to sustain them on Dragonstone. So, yes, that is a huge hole in the story.
However, their loyalty and discipline is born out of three factors:
First of all, the funeral pyre scene in season one was witnessed by less than fifty people, as the rest of Khal Drogo’s followers spread to the four corners of the Dothraki Sea.
Meanwhile, the entire Dothraki horde saw Daenerys emerge untouched from the burning temple in Vaes Dothrak, while every Khal burned to death. Dany is a god to them.
Second, Daenerys gives them a stirring speech where she declares each and every one of them to be her blood riders. It’s a great honor, but it also requires them to be commit suicide when their Khal dies.
Third, she’s got some big bad fire-breathing dragons.