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Did you play according to the following rule? I strongly suspect not, and that this is why you had palace pieces left over.
Important: When all players have claimed a palace with a rooftop in their colour, all buildings in that colour behind player screens are removed from the game, even if a palace isn't claimed with a neutral rooftop.
(The original rules also say that when all other players have placed all their rooftops, the sole player left with rooftops must play at least one rooftop per turn. I guess that's less desirable in a 2P game and that's why they removed that from the rules, though; but it certainly can mean that palace pieces linger longer than would be the case otherwise...)