I got my first vassals in last game. I didn't fully understand capitulation when I accepted it from two civs who I'd beaten away from my continent. (They each found tiny desert islands for themselves.) So I couldn't even demand anything from them! Each of them had one crappy little city. Even when I was warring with bigger civs, the bigger civ wouldn't destroy my vassals. So there was no way for me to get a conquest victory, since I couldn't declare on two civs who wouldn't break away from me. Grrr. Oh, and I tried to anger them. I wasn't giving them anything, I was picking fights all over, demanding big cash payments every couple turns ...