It's not necessary to collect the dragon set. It's just 100% scattered across the entire map.
Usually, the "Capture a city" quest appears when all cities are lost, even if temporarily.
Overall, it's a good game.
P.S. I still strongly recommend getting version 3.1. Some of the very best maps only work on it.
Are you talking about the temporary quest "capture any city within a week" if you lose your own, and in my case, none of them were lost.