I think great work can be destroyed.

For example let's suppose you only have 1 art slot (your palace), and it is already stuffed with a painting, and if you capture an enemy capitol with a painting, the painting will get nowhere to go and I assume this would mean destruction.

Unless a great work can be somehow "unassigned",it should mean destruction. Correct me if I am wrong.

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I do seem to be having cases of "you capture a city with 2 great works of art" and then when I see the city, there's only 1 GWOA in it - not sure if this is because the GWOA was destroyed or moved to another town.

If you have an open slot in another city, the Great Work or Artifact is moved. If you have no open slots, it goes "poof."