When i ordered a city to be built, Sovereign didn't automatically move out of the city, he just lost all remaining moves (he should have had 3 moves). After that, Sovereign completely stuck in that city. Even if i order him to move somewhere or attack something, he loses either 1 moves or all 4 moves and stays on the same plot where is the city. However, he's not in the city either, he's not shown in a list of units defending the city when i select a city.

Also, there is an annoying interface quirk - when i order a city to be built and then move a hero, city is built at a new heroe's location, not at the place where i ordered to make a city.