Don't use that dialogue option yet, it wasn't fully finished and you'll get in trouble with your liege for attacking caravans and stuff.
It will work like this (it's finished for the upcoming patch): you ask your liege for permission to leave for a bit to help out the Crusaders, after he agrees your faction changes from whatever it was to Crusaders, you keep your fiefs and income, fiefs remain with the original faction. You go to the Holy Land fight and after you're done you find your liege and tell him you came back. You rejoin your original faction and get some rewards (if you did well in the Holy Land), you also get +relationship with the pope but that doesn't do anything yet.
And one more thing, if your faction is doing poorly he won't let you leave, also if your action starts to lose while you're gone you will be recalled (if you don't show up within a certain amount of time you will be stripped off your fiefs).