No, you’re loyal to whoever you choose to support. But of course, being disloyal to your king in a meaningful way will pose risks unless you can get the support of another monarch that has (or is trying to get) influence in the area where you live.

Or of course if you’re valuable to another monarch, perhaps as a spy.

Posted By Ignas at

Say I choose a kingdom to be born in, does that mean I have to stay loyal to the liege because I'm a citizen? If I move somewhere else, do I automatically have a new liege?

This is not a game mechanic. That said, a well-run kingdom will monitor and enforce allegiance of aristocrats (mayors) upward. That will be done through player actions.

There will also be a system of laws and lawbreaking will have consequences. There may be attempts to enforce allegiance through laws, but that will probably be impossible to do. The law is a leaky sieve when it attempts to enforce loyalty, tending to produce lipservice instead.