Did you loot the nation chest at the fort? Did you destroy all the supply crates and burn them to weaken the Nation Power? Did you kill 20 Athenian Soldiers?

If you don't do all these things before you kill the leader then you won't get the Nation Power low enough to trigger a Conquest Battle. Another tip is to kill the mercenary Hyrkanos or he will pop up in the middle of the Conquest Battle making it more difficult