Yep, me too.
Aside: Did you also start as Dhofar? If so, interesting coincidence! Top tip: coastal provinces that the silk road passes through (without silk road trade post) are also extremely rich. (They receive +X trade value from silk road passing through, as well as +100% from Imperial Trade Contract.)
I think this is a bug, but I have kept forgetting to document the problem because I found an easy workaround:
- Ensure you have enough money on-hand to build a new trade post
- Turn the game speed way down
- Siege the trade post, which destroys it
- War becomes invalid. Pause immediately.
- Start building the trade post.
- Unpause.
This costs more money than it should - but it also means you only need to completely siege one province, so I think it actually works in your favour.
If you have the relevant documentation (screenshots, saves, etc), you should probably add it here and ask a mod to move this thread to the bug reports subforum.