If I say character creation isn't in then I know I'll get roasted on this thread
It's simply something I haven't implemented yet or looked at in depth. I am toying with the idea of having a "lead" character which is the player that can participate in combat. If your player dies, then the game is over as the story is from your perspective. Your player avatar doesn't have to participate in combat though and you can send out other "units/heroes" to fight in your stead. I like the idea of a risk vs reward mechanic here in that your avatar has stronger base stats over your other units, but if it dies the game is over as opposed to the mission just "failing" if your units get wiped out. Meaning that during the course of the game if you find yourself having to deal with a crucial battle, you may consider increasing the chances of your success by fighting the battle with the player avatar as well.
Don't worry too much:
X(-)COM don't have character creation. Neither do Battle Brothers or Mordheim. They don't even have a main character either.
JA2 had a pseudo avatar you created, but whose death was of no consequence, so you still played Laptop guy behind the scenes AFAIK.
So you can very reasonably not have character creation.
Now if you want a main character, things get trickier. I have the exact same problems in my game actually:
Medieval era and feudalism does not lend itself well to behind the line commander: It was the very fact that they risked their lives on the battlefield that was the source of the power of the nobility back then.
But then, the main character can die, which is very unfortunate.
Game over on main character death may make ironmanvery hard to balance if you intend to have it.
You can play it Mount and Blade style: lead character is only captured/ransomned or KOed. Ransoming lords was standard in the middle age anyway so it is pretty realistic.
Another solution is to go the Pendragon route (TT RPG): players play an organization or a bloodline: as long as you have a next in command, no game over, he only takes over, Crusader King 2 style.