You may think you're expressing your situation clearly, but you aren't giving nearly enough detail. We don't know why the war ended from this, and we don't know why your family is in his prison. Were they captured earlier? Did he imprison them? Are you SURE it ended "inconclusively?" We know nothing from this.
One answer I can give you is this: occupying a holding does not result in the imprisonment of everyone that was there. His location can be considered in abstract in this case -- he's effectively still out of your control, and that's all that matters. Simply: that's how the game works. Sometimes you capture people in residence when you take a holding, but not always, and you never capture everyone.
Also, you didn't conquer anything. You just occupied it. You have to end the war to properly conquer it, and then he would only be in your prison if the terms of surrender said he will be. Hover over "enforce demands."
