That makes sense, but if I was Jon I would think that bringing a Dire Wolf, an animal that doesn't exist anymore below the wall and no one below the wall can tame, shows that he's more of an "above the wall" type of badass than the wildlings would give him credit for.
I guess that's confusing what I just put. Look at it this way, I'd rather the Wildlings see me as a fly mamajama with a Direwolf than a jive turkey Crow.