In vanilla, eventually a messenger (splash screen) will come from his kingdom offering you, literally, a king's ransom for him. Like 16K denars or so. You can also get a quest from one of your lords asking you to capture one of the enemy's lords, and you could use him to fulfill that quest and claim a few hundred denar and some relationship with the quest giver.
"I am so grateful for you letting me go that I am going to give you, my sworn foe, a large portion of my territory and populace!"
Plus there's the issue of actually holding onto what was until very recently, enemy territory.. with a hostile populace and enemy garrisons. If your faction was hypothetically strong enough to do that, they're probably strong enough that they should just hold onto the king and finish off his faction..