If u have all requested things, ( for exm. azragos ) open the clan mananment screen, there will be buttom top of the screen( right ) "create a kingdom".
Create ur kingdom , then quest requesting shows a message about clan freedom ( quest says that u must be free but no wories kinda bug, it's shouldnt bother u or dont think that quest cancelled.)
Then go the azragos and speak about creating your kingdom.. You can see new sentences " i have the dragon banner and i wanna create my kingdom"
ps: not native speaker, ı hope u understand these terbly english
Edit: Dont chose empire when ur creating a kindom for azragos, For istina u can chose it.