Okay, here's our latest thought process on the sovereign.

First, let me say that the sovereign dying is a non-negotiable thing to us.  It's an important core concept.

That said, we do not want users to have to play defensive with their sovereign. The idea is to give players the option to gamble it all if they want.

So here's what we're thinking:

Heroes will have a skill called Evade.  The evade skill determines the odds of them escaping a disaster (lost battle, taking of a city, etc.). When they escape, they are transported to the nearest friendly city.

Players will be able to put points into evade when they design their character.

There will be major evade modifiers. For example, if your sovereign is in a city when it's attacked, odds are, he'll escape.  If he's in a large army, he'll probably escape too.  But if it's a 1 on 1 encounter, odds are, he wouldn't escape. 

The entire system would be automatic and players worried about losing their sovereigns can simply put some points into him and park him in a city and not have to worry.