I was pretty sure that this had been reported previously and added to our bug database, but I can't seem to find any reports of it. But yes, it seems that when Yazidi was added, we didn't think of the consequence of being able to play as the religious head himself. As grisamentum mentioned, the action is a request rather than an action you perform yourself.
I filed a new bug report of the issue and hopefully, this is something we can get fixed in the future.
Thanks for reminding me about it!