you HAVE to do the quest line
I already had the banner and joined the Southern Empire. I was unhappy there and wanted to found my own empire with my 2 million gold and three cities. Leaving the empire and keeping towns is possible, but founding the kingdom is not.
It stays with the same quest as before when I joined the empire:
I should achieve that the Empire owns 2/3 of the settlements.
The quest how I found my own empire is no longer available, although I own 1,500 soldiers and the settlements.