This kind of campaign can be great fun because you can invest the players in the setting. I actually tend to do this very early in any game; have the players have a tiny and very modest holding, often with a nasty rent at first, to keep the players interested in coin. Could be a wayside tavern etc.
The problem I have found with giving everyone separate domains is that it tends to split the party up; not a problem if there is some method for keeping them busy whilst you deal with each individually but can be annoying to play if not handled correctly.
I have handled this in the past by giving the players control of a tiny town that has just been built on a frontier. The Players are ordered, by the King, to run the town, ensure its survival and plan new works and additions, including the walls. They should be overseen by an annoying lackey of the King, who pokes his nose into their affairs, and controls the budget they have been given (and which they have to pay back within a certain time doubled). You could even have an entire town council that the players have to win over (they begin resentful of the PCs).
The players own buildings within the town but are rulers as representatives of the King (i.e.as Feudal rulers, not true rulers; they can be stripped of their positions if they fail to please him). This gives them individual domains without separating them up; as everything they do is for the town, this invests all the players in all the individual parts i.e. the wizard in the library and the mages guild, which the wizard will have to build up from stratch, the fighters will have to create a watch and an army etc, whilst the Rangers and Druids have to control the surrounding countryside and make sure rivals don't raid cattle and that the land is not unduely affected. They all get a title and become magistrates as well (except the Rogues; who become spies, intelligencers and assassins) and so crime comes into their purview,.
Now you surround the town with rival rapacious nobles, tribes of marauding monsters, rival towns, ancient ruins, rumours of plague and disease, the chance for famine, population migrations as people leave or arrive in response to events, inner city crime, inter-city spying and you have yourself a very nice and complex campaign indeed.