You should have put a restrictive covenant clause in your Protectorate agreement, which would stop them signing up to any other budding world dominating empires. Yes, I see a lot of this with these informal, 'point-of-the-sword' contracts, it's all ravaging cities and pillaging women (?) and there's just no one looking through the fine print.

Seriously though, I don't know how it's happened. The point of these client kingdoms is that they're your client and no one else's. And if they're supposed to be giving you all their income they don't spend then what's happening now? Is it being split? Are you getting the full whack?

Maybe see if you can attack a Dacian/Parthian army next to a Scythian army, so that they’ll be drawn into the battle and be forced to declare war on the other side.