Right, caught the bug and fixed it. We used to insure you owned the eu4 province when you had a wonder in the contesting CK2 province, but we didn't ensure the wonderful (har) province was the one that mapped into eu4 one - as it looked for a province with most development. Now a wonder will ensure the right province was selected.It's about a kingdom away, so I don't think that's the problem. It may be that fourth palace that I'm constructing one province away from the second is confusing it, as it's trying to convert the unfinished wonder and ens up giving me nothing. Not sure though.
Please grab the latest Capet build and give it a shot.