erm castles are essential - if you dont build them and use them you wont win..no question there.

Size of castle determines provincial loyalty for one and as the game goes on you can only win by maintaining loyalty with big castles and minimal garrisons - by the time you ahve a fortress with add-ons retreating to the castle may not loose you anything at all... certainly never more than one upgrade or so and defiantley not ever a full range of buildings.

You also cant build up the tech tree without castles, so you have no choice im afraid.

Taking provinces without loosing a building is possible - just got to either a) work out how to do it or b) read my review out sometime this week ;-)

(which also discusses a semi-serious point on just this issue)