Interesting, what difficulty level were you playing? I did the same thing you did and didn't experience that problem. His loyalty was high enough, the only time I had a general rebel he had no loyalty.
Maybe you should wait a bit before destroying the Zoroastrian temple? I had to do that with a couple of barbarian provinces to wait till the governor and the surrounding provinces had some conversion effects. Was it a full stack garrisoning the city?
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