Krieghund is absolutely right.
Look at it this way:
1. An emissary is supposed to ride to the capital, talk to the local king and convince him that he'd be much better off being allied to your kingdom. Of course, you would provide protection from greedy enemies.
2. After an enemy army has entered the province, the local king is way too busy to talk to your emissary...especially after the following initial dialogue occured:
- local king: "So, you want me to be your ally...did you bring an army to protect my kingdom from this foul [insert opponent's name]?"
- your emissary: "Well, not exactly..."
3. Once a province has been conquered by anyone the local king is essentially little more than a magistrate. And as such he may love to overthrow your opponent's rule and become independent again...but he lacks the power to do so. And therefore any suggestions your emissary may have will fall on deaf ears.
At the same time, just because your emissary is still standing in a province that has just been conquered by an opponent doesn't mean he's in danger. In fact, you can use this emissary to turn a neighboring province into an ally (and place a tower). That is usually a bad idea though, especially if your opponent still has an army in the province he just conquered.
Emissaries shouldn't be used too often. Yes, they generate gold when you take over a neutral province. But gold doesn't win the game, empire points win the game. I always conquer provinces and only use emissaries when I really need the money. And then I only use emissaries to take over provinces that are out of reach for other players.
Honestly, Age of Conan is a war game. And war includes armies and lots of slaughter. You don't defend an empire by raising diplomatic towers in your border lands and hoping your enemy stays away. No, you move troops to your border lands and threaten to invade your enemy if he is foolish enough to wave his puny sword at you. By Crom!