A great topic in my opinion.
Not much at that point, at least in the current game. Yep, but it is the situation with most game really, even time-sinks like Paradox game if you just conquered the whole map, Warband ofc is in the line too. It's like when the conquer the whole map is the game goal, the most you can do is provide some sort of reward a juice in the end, like a cutscene or a event, a fancy end screen, and "You Win!" ofc.
A possible solution is so you can't just conquer the whole map, also, you wouldn't want to. This is not make the process a grind or punish player in the process, just make it less optimal to do it, like why isn't there a single empire ruled the whole world in history, and why most of those huge empire crumble rapidly, we can take note from that. While providing other goals for the game, supposedly say conquer the world be a ruler is one way of life/gameplay.
And in the same way, conquer the whole map to be a check point into next stage of game. Like empire gameplay, dynasty gameplay this sort, for example the status of the world would change the world would recognize, so comes invasion, large scale domestic conflict, remaining resistance into coalition (like the end main quest but more organic and built-in), etc etc. So when player arrive at this point, it would feels like a new beginning, a "restart" but not actually wiped out.
What I imagine left then is the ultimate burn out? That is a question even for those games claiming to be 'designed to play forever'.