If you are a mercenary for a kingdom they will always list you as a vassal in the notes menu, there is nothing wrong there. Though the payment should be coming for you. Maybe there is an option when speaking with the king to get the payment, something like "I humbly request my payment" although I might be wrong. And build some enterprises to get some money. Dyeworks can bring you a tidy profit each week in most towns, and several should be enough to support any army, although they are pricy to build (~10K).