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Cons: Each extra duchy you hold decreases vassal opinion by 15.
I often hold three or four duchy titles in the later game as overcoming a 15/30 opinion penalty becomes trivial.
My personal demesne in the late game usually consists of two entire duchies with titles, and two additional duchy capitals with titles. I hand each of the non capital baronies in those two additional duchies out to individual barons so I don't have one vassal holding the majority of the duchy and having another opinion penalty because they "desire the duchy capital/title".
But if you hold a county within a duchy of one of your vassals you will get a rep hit.
If you hold a duchy in a kingdom of one of your vassals you will get a rep hit.
If you are over your demesne limit you will get a rep hit AND a taxation and levy hit. One over isn't too bad but beyond that it is awful.
None of these situations are worth it and they are pretty simple to fix. You can also hand the title out to another king and then let those two kings fight it out. Internal strife within your empire is no big deal as long as the strife is not directed at you. Strangely the game never recognizes that you are creating a mess on purpose and there is no rep hit for doing these things. I do this a lot to dukes. I hand out county titles I have that are within the duchy that put me over my limit and hand them off to some other duke. Then those two dukes usually fight it out.
The ideal setup as an emperor is to have 2 duchies within a kingdom you have titles to. Do not have duchy titles that are within the kingdoms of your vassals. Hand those back to them. It isn't worth the hassle. Do not hold onto county titles that are part of a duchy that your vassal has the title to. Organize your lands so that if you are a duke you only have county titles in duchies you have the title to. As an emperor only have duchy titles within kingdoms you have the title to.
If you are going to be over your demesne limit use your heir and hand the title to them. You will inherit these back if they die before you do or when you die and play as them. There is a new rule in CK3 so you can't just stuff them with titles like before.
What is "demesne limit" and how do I check that?
check the top right corner of the screen you'll see your limit.
you can only hold 2 duchy titles without penalty
you can hold an unlimited number of kingdom level tites
you can hold an unlimited number of empire level titles
I personally don't hold duchies, or not more than 1, mainly for inheritance reasons. My reasoning goes as follows:
If you hold multiple kingdoms, they will split on your death (unless you've done something janky to get rid of your heirs). You can fix this by having Partition inheritance (vs. Confederate Partition) and not creating kingdom titles for the lands you conquer. You only need one kingdom to keep everything under.
If you do the above, but hold multiple duchies, then the duchies will split up on your death - which, if you were holding if because it was useful to you, is objectively bad. The solution is to not have the duchies.
What would then happen, is that your actual *counties* get split up on your death, which would be the worst of all. So what you do, is create rubbish duchies somewhere, and give them to your secondary heirs at any time before you die. They then drop out of inheritance (provided you don't have more duchies to share out), and you get to keep all your counties. If you've given everyone who is eligible to inherit a duchy, and the only duchy you have is your capital duchy, then none of your counties, no matter how many you have, or where they are, will get given away on your death, even if they technically belong to one of the duchies you have given away.
In general, duchy buildings are nice but are objectively worse than the special buildings you can collect on unique and special counties. You could hold a duchy and all its lands, but you'll make far less money and have far less bonuses than if you hold no duchies, but instead had the same amount of holy sites and unique buildings (such as special forts, universities, gold mines, and so on). If I had to choose between having a duchy building and having, say, Cordoba as a single province with no duchy, I'd choose Cordoba every time. Likewise, no duchy building even comes close to giving you as much as a single rich gold mine (such as Gottingen, Niani, or Mudagonda), so if you have even one of those then duchies just don't matter.
Don't overrate duchies - they are nice, but there are other nice things.
However, I wish we could hold 3 duchies as an emperor without a penalty.