Thanks for your replies.
The same kind of thing happened to me again: I have now become King of Aquitaine and all of sudden I noticed that one my Duchies, the Duchy of Burgundy, had disappeared and got split into 4 independant counties. But this time, I made some reloads / saves and I think I figured out what happened.
The Duchess of Burgundy was my vassal. The Duchy of Burgundy had 4 counties: Auxerre, Charolais, Macon, Chalons. It happened that Godefroy, who was a baron in the county of Macon owned a strong claim on the Duchy of Burgundy. The Count of Charolais used this opportunity to create the "Godefroy for Burgundy faction". The Count of Charolais sent the ultimatum to Duchess of Burgundy, she refused ---> war. The Count of Charolais won the war, but in the war process (winning battles and sieging holdings), he had also sieged Godefroy's baronny, so when Godefroy got the Duke of Burgundy title as the normal outcome of the faction winning the war, he was actually landless. The minute he got the title all former vassals became independant. Godefroy is now living in Dijon, he is still owning the title of Duke of Burgundy, but is landless and vassal-less.
I think this happens whenever a landless individual (for some reason) gets a title one way or another.
Is that WAD? I don't know. What I find weird in my above example is why did the Count of Charolais sieged Godefroy's baronny during the war since he was leading the "Godefroy for Burgundy" faction? When the faction engaged in war, Godefroy should have been considered a revolter to Duchess of Burgundy, and his baronny should have been seen as friendly territory by Count of Charolais, shouldn't it?