I can't really comment much on Horse Lords because I very rarely ever play as... horse lords. I mostly (actually, totally) play as Catholics/Orthodox/Norse, in Europe because they are the most interesting to me.
Conclave was alright. Not good or bad. It's about time vassals were given more of a say in the running of a realm. I would've preferred it if vassals were made way more powerful, and if pushed too far their rebellions would seriously threaten your rule, because right now no matter how far you push them their rebellions are still so puny and weak - but that's due to the hard nerfing of faction rebellions in the Rajas DLC. But it's a step in the right direction I guess.
Meh, to be honest, the last few expansions have been underwhelming. In my opinion The Old Gods was the high point of this game, and it has gotten a little bit worse with each DLC over time. It's still a good game, just that ToG was when it was at its best.