The whole point of this game is to initiate a Crowning Moment of Awesome. You're basically Michael and his Eevee in feudal freakin' Japan with a pair-of-horns-shaped crown. You've been promoted to Warlord for no given reason, you don't know mulch if the Forced Tutorial sessions are any indication, and your only ally starts with a freakin' marshmallow. And what do you do? Start kicking all seventeen different types of ass.
And by that, we mean you form an army, take over an entire continent from the other powerful Warlords and make a God do your bidding. With an Eevee.
The Final Boss of any Pokémon game demands epicness, and Conquest delivers. After uniting Ransei and forming a link with Arceus, Nobunaga reappears and reveals he was going easy on you with Zekrom, unleashing Black Rayquaza against you. And he brings in five of his generals, each with a fully-evolved perfect link and +3 attacks. And you use the Arceus you just linked with against them. Let the real war begin.
In the individual Warlord stories after the main quest is finished, many of them have them setting out to conquer Ransei out of sheer boredom and wanting something to do. What was an epic quest for your main hero is a way to pass the time for the other Warlords.