I've played quite a few campaign missions but none of them allow me to build the buildings for upgraded troops, even after having built everything else possible in a city or town. For example, I can get sentinels and crossbowmen, but the option to build the building which would enable me to get praetorians or marksmen never shows up! It's happening for all races.
during the campaign, some buildings and upgrades are locked. As you progress through the campaign, they'll open up, sometimes during a mission after completing specific quests, sometimes on the next map.