Now I've read in the changelog that once the Mongols or Aztecs take over your territory, you won't lose your demense but merely be incorporated into the khaganate or empire (atleast for dukes and counts I believe). Now on the long term for your own survival, I reckon you want to change to the religion of your new liege because else he'll just revoke your titles once he reaches medium CA. Yet won't that mean game over because the game doesn't allow you to play as a pagan? 
