are you talking about the later missions from tang?
the paliniero cities? or are you refering to generaly conquering cities in the game?
i think that despite that it is possible the game does nothing to encurage the gamer to do so---> cost drain as a major pain in the butt....
i ve done so in earlier times about bsm 0.5 (?) or so. in these times the money was no prob and i had numerous cities under my control with milztroops about the size of 50^^. mind you, if your around in such the city and it gets attacked the game goes to sleep...
if it is the former, then it is still not really necessary to hold the cities, just long enough to get the mission text that you have the city... the plot moves still on.
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