That sounds like the last AI was taken out by monsters, or some other combo of all the ones left losing their capitals to each other and monsters. I had that happen a few times under beta versions, maybe in the early releases before I gave up playing regularly.
It would be interesting if you could tweak a save from a bit before that happened to disable the Conquest victory and see if the UI results were the same. If you're focused on, say, the Spell of Mastery, would the game keep running with all the AIs killed and the Conquest victory disabled?
