It was not unusual for monarchs to hold fiefs that owed nominal allegiance to a person who held a title lower than that of the monarch. This could cause problems but generally was OK because you'd take care to avoid really problematic arrangements, and the fiefs involved could be quite small.
This is certainly historically true. Historically, nobles would also sometime hold fiefs in different realms. I wish BM could simulate such complexity, but I understand it doesn't.
