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It means you get a tax penalty (75% I believe) for the church or city that you are holding. You should give that city/church to somebody else to avoid the penalty. All it means is you get less money from it than if the city/church was ruled by a major/biship.
 
I just got this as well. I think it is because in my case I took over land from the Sunni, so instead of church I have the sunni equivalent. Have not really figured it out yet though :)