Bit late now, but I was having a similar issue to the OP on Hao and Wei.
The game, or this mission seems to have some annoying bugs.
There also seem to be quite a few spies visiting your city.
Don't overlook elite housing, as they generate a lot in tax
The game hints strongly that you should invade Shu first, but I invaded Pingyang first, but the game never registered it as a city i ruled.
My first invasion of Shu failed, even with Huang and four units. I probably left it too long after the message about Shu being weakened.
This seemed to set of a chain reaction and my original two Vassal cities stopped trading with me, despite having favor with them. (In retrospect I made the mistake of becoming allied with them, as I didn't realise they wouldn't count as being ruled)
I did conquer Shu, but then another city rebelled, which lead to Pinyang rebelling, then Shu.
I quelled the rebellion in Shu, but before my troops had returned it rebelled again! A simultaneous attack on Pingyang failed. (why spies can't report a walled city or best invasion point is beyond me)
Anyang decided to invade also.
After a break, I reloaded the game, and most of the rebelling cities were still rebelling, bit still trading with me.
In the middle of all this the Nomad Camps invaded also.
I was about to start again, but decided to see if I could push through.
Basically I gifted the crap out of everyone with items they needed, and eventually the rebellions were quelled, and emissaries came and asked for trade to be reopened, (despite us already trading). Even though they seemed to be vassal states they weren't counted as ruled?
Anyway, I kept sending gifts till they were docile or admiring. Then I chose the weakest cities, sabotaged their military, (I had about 10 forts by now), then sent two simultaneous attacks. One of them still failed, but I had enough favour leeway so that the other cities didn't rebel, and I immediately attacked another city as soon as my victorious troops returned.
This finally won the game. (As you can imagine, a long game)
I've missed a few points here, because I did a few other things along the way, but can't remember the order.
I asked for one or two favours from cities and broke alliances, since you can't invade otherwise. All this would have contributed to my mess ;)
I've played the game a long time ago, but never got into the diplomacy side of things as i find that a bit tedious.