Hey Anilomu,
I have the latest patch without Holy Fury.
I switched to the Byz emperor (in my non-ironman pechenegs game)
I tried to reproduce the situation; so here the emperor has
* Duchy of Trace: Agnatic Cognatic Elective
* Theme of Krete: Viceroyalty (that's kind of weird)
The heir is another Duke, but only the primary Duchy is lost
View attachment 423149
View attachment 423150
To test I also gave myself the hereditary Duchy of Thessalonika, with Agnatic-Cognatic Primogeniture
View attachment 423151
And I forgot to take the last screenshot :/, but basically upon death, my successor inherited the Theme of Krete, and the Primogeniture Duchy of Thessalonika. I lost the Empire and tje Duchy of Thrace, which was also Elective.
So i'm not sure why your situation is different. If you still have the save, could you check what Succession Laws the Duchies have? Maybe that would explain it.
I think it's fair that you'd lose your primary title, but the rest you should be able to keep; if not it could be a bug? or maybe the succession was being recalculated?
Vittorio