Just because the world is fictional doesn't mean it's fantasy. Fantasy has certain elements that are typical of the genre and Bannerlord doesn't contain any of those. If fantasy were defined only as a fictional world, it would be every fictional movie, TV show, game, book etc.
Star Wars or Star Trek are not fantasy, it's science fiction. It does have some elements that could be classified as fantasy but it tends to straddle the line between the two genres.