So you just captured Windhelm and restored peace? All seems good and merry throughout the land, right? Wrong. Upon returning, you find that all of the former jarls and their housecarls are just chilling in the palace eating lunch and conversing with one another at the dinner table. Problem? Most definitely. I can't help but think this was just overlooked by Bethesda because the Imperials are just asking for these guys to get together and overthrow the new jarl of Whiterun. I can only assume the same thing happens in Solitude should you side with the Stormcloaks. Wtf.
They are basically under house arrest and the guards of their formal cities have all be replaced by your faction anyway, so it's not like they can walk in and start a counter coup easily.