Everything was fine, I've even occupied a new settlement when all of a sudden it displayed the message "Victory conditions failed". I don't have any idea why (there were enough turns until the game would have ended, so this is not the case).
sounds to me as if someone else beat you to victory.
If i recall, in vanilla this would usually be the egyptians who performed the best - on a short campaign anyway
If you are playing Short campaign your enemy probably reached its own victory condition before you did. It could also be a bug in vanilla RTW.
Check the victory conditions here: http://rtw.heavengames.com/rtw/mods/tutorials/win_conditions/index.shtml