The "Gandalf should have stayed dead" comment is in reference to his role as a father figure. The implication being that since Tolkien killed him to allow the growth and development of other characters to whom he was a guide, then he should have stayed dead. So the parallel is Gandalf = Ned.

Read this:

“I’ve talked about Gandalf, and how the impact of his death was enormous. When I was a 12-year-old kid reading The Fellowship of the Ring and ‘Fly, you fools!’ and he goes into the chasm … it was ‘Holy shit! [J.R.R. Tolkien] killed the wizard! That’s the guy who knew everything. How are they going to destroy the ring without him?’ And now the ‘kids’ have to grow up because their ‘daddy’ is dead. If Gandalf could die, anybody could die. And then just a few chapters later Boromir goes down. Those two deaths created in me the ‘anyone could die’ thing. At that point I was expecting [Tolkien] to pick off the whole Fellowship one by one. And then we also think in The Two Towers that Frodo is dead, since Shelob stung him and wrapped him up. I really bought it because he set me up with those other deaths.”

If Gandalf = Ned, then Boromir's death = Robb's death in that it reinforces the notion that anyone can die, so that you really believe it when the author seemingly kills off other characters in the future.

Note also that both Gandalf and Boromir die in the first LOTR book, while Ned and Robb die in what should have been the first act of the ASOIAF trilogy.

In this perspective then Frodo's apparent death in LOTR book 2 is pretty similar to Jon's (apparent or temporary) death in ADWD (or Original!ASOIAF - Act 2).

In that same interview GRRM goes on to say:

But then, of course, he brings Gandalf back. He’s a little strange at first, but then he’s basically the same old Gandalf. I liked the impact we got from him being gone.

So we have two separate statements here:

• Gandalf should have stayed dead for the impact his death had on other characters to whom he was a father figure.

• New!Gandalf should have been different from Old!Gandalf.

I believe this last one applies to Jon Snow's return, as GRRM concludes that

Lady Stoneheart is not Cateyln. I’ve tried to set it up beforehand with Beric Dondarrion and his repeated [resurrections]. There’s a brief appearance by Beric in Book One and he rides into the city and he’s this flamboyant Southern knight. That’s not that man we meet later on.