The Real Answer: The show fucked up.
But if you want to try to shoe horn an answer to fit with the story, here's two possibilities.
1) Stannis's wife was so brainwashed into believing everything Melisandre said, that even her own mind deceived her from seeing The Red Woman as she really was. Remember, this was the same woman who was ok with her only daughter being burned at the stake, up until the moment it started.
2) When she was in the bath, Melisandre's faith in the Lord of Light was as strong as it ever was. So maybe that faith, was strong enough for her to keep up a youthful appearance. But after Stannis's defeat, and the death of Jon Snow, she has lost faith in the LoL, so she can't hide her age without her necklace, or she doesn't care enough to try.
After the Battle of Winterfell her duty had been completed so she disappeared to whatever afterlife she believed in.
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