The second sentence of Diabolical's post applies here (should have read one further :p), currently the system prefers to not path through other provinces if it can be avoided (to avoid unwanted fights).
Certainly there is lots to improve with the pathfinding, but it's also not an easy system to improve. Maybe we can fix some low hanging fruits like this one, I will put it on the list. New additional features like multiple pathing stances are unlikely though.
There is also one common connection bug (unrelated to this) that happens if you leave your tab open for too long. Then sometimes it regards freshly conquered provinces as not yet conquered when giving another command, trying to avoid them. If you get strange pathing suggestions in provinces that you just conquered, reloading the game is adviced, as then the client and server state gets synced again. This is probably the cause of what Diabolical describes in his first sentence.
