I had a weird episode in my most recent game where this suddenly started working again. I was very surprised, because I'd previously been using these keys to cycle between cities/units. Then all of a sudden, it started moving my sovereign instead. Annoyingly enough, it even moved my sovereign when he wasn't selected. In the end, I manually selected one of my cities. By that point, my sovereign had run out of movement points, so hitting the numpad keys did nothing. However, after I added a building to the build queue in my first city, numpad 3 and 9 (i.e. pgdn and pgup) reverted to cycling between cities. I should note that during the period where I could control my sovereign using the numpad keys, I still couldn't cycle between cities/units even when using the actual real pgup/pgdn/home/end keys.
