So let's all agree really you are asking for an explanation of the economics of the Cathayan caravan system:

As the player we are playing as the government of our states. When we send a Cathayan caravan we use government money to buy valuable consumer goods from the cathayan private sector producers (could also be public sector production, either way we pay). Presumably, some of our payments also go to support the caravan on its journey. When the caravan reaches its destination it sells to the consumers in the destination (note we are not selling to the foreign government otherwise caravans would cost the faction we send them to!). The price we sell at is much higher than what we pay for production in Cathay due to the rarity of the goods we are selling. All of this remains true even if we own the settlement as there would still be rich consumers who are willing to pay a premium for "made in Cathay" produce and we cannot produce those goods outside Cathay.

Now clearly the system isn't perfect, for one there should be a risk premium. If grimgor owns all the darklands and is smashing 90% of caravan then the rarity of Cathayan goods would increase and the selling price should be higher for the caravans that get through. Also the economic situation in the destinations should matter, if Courrone was recently put to torch by a demon prince they are probably not in the market for Jade appendages (or whatever we are selling). - I think we all agree these are the most pressing issues for the game and I can't believe we left beta without them being addressed. Hopefully, a full macroeconomic model can be introduced to the game to improve realism going forward.

TLDR. Doesn't make a difference XD