I am pretty sure the Sand Snakes are acting alone with poisoning Myrcella. I am also thinking that the one that likes Bronne gave him the anecdote. Though I have no real reason to think that in the grand scheme of the story beyond just pure speculation.
With regards to Jon, it makes perfect sense for Melisandra to save him. It accomplishes two things. The first is that it forces the viewer to actually start to like (or at least tolerate) Melisandra even though this whole time we have been conditioned to hate her.
Secondly, it would force Jon to owe her a debt of gratitude which will force him to be much more willing to listen to her and make her a part of his story in some way.
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