Way back in beta one, roads were handled far differently, how it worked was you clicked the town you wanted to start the road at, it brought up a city list, you clicked that city and kissed 10gold a turn good-freaking-bye.
But we didn't have a road limit like we do now, one caravan per city that's wasted if you send it to another city to just help things alone, and to make maters worse, the AI will expect you to toss out a caravan to build the road to them, madness I say!
So what if we had the sorta best of both worlds, you could make city to city roads within your own kingdom (just not as pricey) without caravans, but to link up with another kingdom/empire, you have to use your one caravan for that city.
Or at the very least don't make it cost a route to build between your own damn cites!