It might be that the White Walkers really just did not see Sam. Sam hears the White Walkers coming but when they arrive they never really get close or even make any eye contact. There is rock in the scene that was in the perfect place for Sam to hide behind as the White Walkers passed. This is just one theory however.
It is also possible that Sam has acquired powers, or that Sam is really dead. Another possibility is that the White Walkers now sympathize with Sam. Whatever the reason, the show uses this as cliffhanger to bring viewers back for more.
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