I'm not sure if that was really established. I think Cersei knows the potential threat of the White Walkers (having seen one of the wights) and is unwilling to send her own troops, nor herself, because she would rather have all her enemies die without weakening her own position and/or thinks King's Landing is a more defensible position than moving out against them and exposing herself. It's why a mercenary group is useful and employed instead. Coming from Essos, they probably don't know about the threat of the White Walkers and are just assumed to lay siege to Winterfell - which has fallen about a few times already (Greyjoys, Boltons and then recently the Starks).