As has been said, this is a sandbox game where you can take any path you want, there"s no story line or "correct" path you have to follow. With the size of your armies and the amount of troops you have, I think you're going to have a lot of trouble soon with this particular mod. In PoP finances are critical, good troops are expensive, and the lone wolf approach will be very hard with no cities or fiefs to generate income, loot alone and the small castle taxes aren't going to support your armies. What I would do in your situation is join another faction, cut your expenses, which means smaller armies for you for quite a while. Work for your faction, take what you can get as a reward for conquering cities and castles, try trading on the side.Watch the trade good prices in the cities, you can make good profits on some and build up your war chest. Then when you've got a firm financial base and a few income generating fiefs you can go the Genghis Khan route, quickly, before cash becomes a problem. Keep troops to a minimum in your army and holdings.
I'm not a particularly good player, fairly new, but I had great fun with this mod and conquered the map. My King gave me only 3 cities,3 nearly worthless castles, and 8 villages, even though I was the one doing all the conquering. No problem, I had plenty to do, and didn't feel screwed by my King. Just like in real life, he had to play politics with all his other Lords and keep them happy, they're too powerful to ignore. Remember that as factions are destroyed, some of their Lords will join your faction and they'll want holdings even though someone else conquered them. In short, don't sweat not getting everything you conquer, it's not economically viable to hold them. You state you can whip much bigger forces, that's what I did, kept my troops and expenses down. You can still conquer everything, have plenty of (more realistic) challenge and lots to do. Much more interesting and thoughtful and strategic than Native as far as I'm concerned. And a lot more fun.