It's one of the 'deleted scenes' on the DVD. It's odd that they left it out as people have clearly been wondering why she so mysteriously and abruptly vanished. I guess that her character was considered relatively unimportant to the overall story (the Wolf Hall story). Would've been helpful to keep it in, though.

I agree, the character and the actress were superb and I missed her after she was gone. I did think it was odd that they didn't even reference her elopement with Stafford. It was a pretty big deal for the queen's sister to do something so scandalous (read: independent).
I like her character even more in the book. Her exit scene, when Anne banishes her from court, is so great.
Formerly Nothin_but_the_Rain

It's because during the 3 years Anne was queen, Mary got married to William Stafford. He was lower-born than her and the match was a secret from her family, including Anne, who was furious and kicked her out of court. We saw William in the scene where Mary kisses Cromwell, he's the guy who surprised them and then he was jealous, and Mary says she didn't fully expect him to show up and meet her.
Stafford was her second husband, her first was William Carey, who she had two children by (the rumors were that they were actually the King's bastards, but no evidence to confirm existed). He died very young, she references him in one of her first conversations with Cromwell when she says she needs a husband to protect her who and who wont die.
I expect they didn't include any of this in the series because it is mostly irrelevant to Cromwell's story. Haven't read the book yet to see what is included, but I really liked her attitude as written and the actress who portrayed her, so even though I knew why she was not at Court attending Anne, I still missed the character!