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I just gave my last castle barony to a vassal and i lost the game because i became a merchant republic. while being feudal. The same thing also happens when i convert to muslim denomination.
According to your badges, you have Sword of Islam and The Republic, which should allow you to play as a Muslim or as a Merchant Republic.
Note that if you only hold county-level or city-level titles when you give away your last castle, you will turn into a Republic, not a Merchant Republic, and the game will end. Converting to Islam, however, should not end your game. Are the DLCs properly loaded when you start the game?
the dlcs are properly loaded I think, console switching to sunni ruler of golden horde works normally, also console switching to MR of venice works too, the launcher had those dlcs ticked in, i was playing as the roman empirr, aka i had empire level title, i know that i got switched to merchant republic and not regular republic due to the color of the scarf around my portrait