I think this is just making you a commander and giving you a village, same as in vanilla. Cappadocia is in Turkey. Relatively good area, not recently conquered crappy lands of a conflicting culture that will be rising up against you. It may be under threat from Parthia, but if you don't like it, you may be able to trade it for other villages elsewhere in the empire.

thank you, maybe will try trade for a more secluded one, how do you trade them?

Once you are a Roman lord, talk to another lord "would you be interested in exchanging fiefs".

aha, ok thank you