If, in warband, looks like a bug or a small trick.
If you are a King or a Queen, talking with any of your lords should show you an option to discuss who should receive a conquered fief.
If you go at your court, you can talk with your chambellan (or something)
Now, here's the small trick: if you have named a proeminent member of the city as your chambellan, it might happen that he has not enough skills to arrange all the business, giving you a limited list of options.
Name a companion instead (or try again to name another citizen)
This should give access to the option concerning distribution of fiefs.
If you do not have it after trying various companions, looks like a bug.