Basically, two of your generals need to get the "Intrigued by Cataphracts" trait. They get this by fighting an army of Pahlava, Armenia or Baktria (but not Saka?) and losing the battle as well as a large percentage of their bodyguard. Unfortunately,the engine cannot detect the presence or absence of cataphracts on the battlefield, so all that is required for the enemy armies is that they consist of 60% cavalry, of any kind.