Is there absolutely no way to convert the "heathens" once a city gets larger than 5000? I mean, over time you would realistically be able to convert the population. Just about all of Africa is either Christian or Muslim today, Latin America is Christian, Constantinople/Istanbul has changed quite a bit back and forth and lots of other areas have also been converted. Why can't it be done at all in the game? You should be able to bombard a province with missionaries so that they slowly convert.
Anyway, do you loose anything by having provinces that remain Pagan or Muslim when you're Christian, except for the risk of rebellion?
Anyway, do you loose anything by having provinces that remain Pagan or Muslim when you're Christian, except for the risk of rebellion?