Yes, the larger a realm is the harder it is to maintain the regions.
Yes, the larger you are the lower you'll have to keep your tax rate.
I believe even troop recruitment cost increases the larger you get.
The larger you are the more knights you need and let me tell you, with the lowered player base getting enough isn't easy.
Being a large realm isn't easy by any means.
The problem is, most realms just don't have enough nobles to just go and found a colony. The main realm would fall apart due to lost knights.
