The games is designed so nobles always have allegiance to a realm. If you go rogue, you are always at great risk of being executed or deported, since any judge can execute any rogue in their prison. You will always fight any troops in the region, and risk being arrested every turn if you have no troops yourself. Also, fighting and choosing sides in battle is controlled by realm diplomacy.
Don't forget the lack of options to replenish your troops after battle with no capital to recruit from.
But you can indeed create a mercenary realm, or even a group which moves from nation to nation. I've thought of the last option for quite a bit actually tbh, but never got around to trying it.
