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 coming out of your head (okay, it might be a crown, but still). 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 has a freakin' marshmallow for an ally. And what do you do? Put Ash Ketchum to shame and start kicking ass. All seventeen different types of ass.
And by that, we mean you form an army, take over a continent 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. 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.