In version 0.3 they should be in the palace. What version are you playing? Also: feel free to drop by the Discord Server, I'm almost always there and if not there are others who will help.
Viewing post in Vae victis - Khan (0.10) comments
Yes. It's probably a bug from version change. I replayed the infiltration event and now both are in the palace. But in the cave all images were missing. Other than that, no problems.
The only issue I found was that after getting both fiefdoms I am unable to get the morale high enough to withdraw troops to attack the 3rd unruled fiefdom. They immediately start burning buildings and rebel 🤣🔥