Build: 18012.2223342 v1.11.0
After confederation, confederated lords and heroes lose all of their mount options excepting what they were on at the time of confederation. It is either what they were on or 'None'. Appropriate skills are unlocked for the other mounts.
I am confederating Naggarond, playing as The Thousand Maws. Turn 169.
1. Confederate with Naggarond. They will confederate for ~213k gold
2. Select Malekith. He is standing next to Marienburg on the Campaign Map.
3. Select his details pressing the magnify glass button.
4. Try and change his mount, only 'None' and 'Cold One Chariot' is available.
The same is true for a confederated fire wizard who aught have access to Dark Pegasus but does not, only the Cold One she is on or 'None', so bug is not specific to Malekith.
Details of any solutions that have already been attempted:
I have tried reloading the game. I have tried exiting and reloading. I have went over the end turn, no change.
I have tried to use the 3rd party save editor software to change the mounts, but it just corrupted the file and I am not able to use this work around.
Please attach .replay for Battles or .save for Campaign.