I also found it interesting that when I conquered Macedon that had 2 Vampire castles they didnt go away like Unique improvements do. So now I have 2 Vampire castles. Dont know if it is bug or not. In general it seems that Vampires and their castles act very weird. For example the yields seem to be locked when you build the castle. So even though you improve the land later the yields of the castle dont change.
Wait... castles gain *improved* tile yields too? Like from wonders and mills?