I was playing a game for cultural victory this afternoon, and in the late middle ages I finally flipped one of Mansa Musa's cities that had been in the middle of mine for ages. The surprising thing was that when I looked inside it, the Forbidden Palace was there! I hadn't built my own, in fact I wasn't even eligible since I only had 4 of 6 courthouses, and it acted like it was my own FP. I got the culture for it, and the upkeep cut, just like I'd built it. But I'm pretty sure National Wonders shouldn't be kept when a city changes hands, whether by war, culture flip or even gift, so this one's a bug.
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