So twice in my campaigns as Zhurong and Meng Huo have I encountered the same problem. The endgame objective of holding all 21 Nanman counties is not achievable even though I am in a coalition with Shamaoke, who has a tendency to blob and is someone I'd prefer not to fight. It seems that the lands of Duosi, who starts off as his vassal, don't count to my victory objectives even though Shamaoke is my coalition partner. Meaning that I have to either hope for Duosi to get uppity and declare independence, or I have to break my coalition solely to attack Duosi, causing a massive fight between me and Shamaoke. I think vassals of coalition partners should automatically be counted as coalition partners themselves, to avoid unhappy circumstances such as this.