I agree, one of the things I love the most about strategy games is watching the AIs fight eachother. Makes the game world feel more alive and presents a whole new layer of strategic opportunities.
Hegemony is a bit more like a freeform strategic-adventure game in this respect, in that it's quite static on a grand strategic scale, and conquest is more like advancing through levels in the order of your choice. There's no AI vs AI wars to take advantage of, no AI expansion turning some rivals into big empires that'd make them a priority threat etc, so it matters little which way you start expanding, aside from some variation in local units and food supply, each front is pretty much the same - luckily, the objective system is doing a great job keeping you motivated in spite of that (and of course the awesome feeling of looking through your growing empire, admiring the glory of what you've become - made even more pleasant by the beautiful art ;) ).
The only AI vs AI action happens when they get in eachother's way while going for you. Like in your case the Athenians got into the way of the Thracians who were enroute to attack you. Same thing happened to me regularly at the Dardanelles strait where the Athenians had a city on the northern side of the land passage to Anatolia while the Persians had one on the south and they kept trying to attack my city to the north of the Athenian one but to do that, they had to march through under the Athenian city's walls (at which point I usually moved down a catapult to stir the Athenians, making them rush out straight into the Persian army *cackles*).