Okay, let's see...

Basically, I'd like to know if with the actual game board building tools it's possible to set territories filled by Neutral units that are needed to be captured in order to win. You know, as a win objective.

I have looked around and the results aren't...positive for that question, but I may as well ask, in case my impression is wrong.

It's possible to set a win condition that is a single territory, which is the target factory of a "continent" of territories, among which is any territories of your choosing. Are you designing a board? If this is a first time board, the objective you describe sounds tricky.  Are you familiar with how factories work?  

I'm a bit confused by the nature of the win mechanism you are trying to achieve.  Are we trying to determine a win mechanism that would be determined by capturing the last neutral territory, the most neutral territories, or, something else?  Perhaps you could describe what you are trying to achieve a bit more descriptively?

Mostly what M57 said, berick. A single territory in a continent that one has to capture in order to win. Like a capital.

I'm not designing a board yet, M57. First I'm checking if some stuff I have in mind is possible. And yeah, I'm familiar with how factories work.

Thank you for the information!

Factories can be tricky to figure out - they can be very powerful, but they have limits and  sometimes seem like liabilities.  I recommend that you share your ideas and even your board if you've started it with us on the forums.  There are a number of us that have been around the block a few times with the intricacies of the Designer and  may be able to save you a bunch of time. Just share the # of the board when you start designing it. If you're uncomfortable with sharing with everyone, feel free to PM me or someone else and ask for advice.  There are not many of us designer types so we tend to be a very cooperative bunch and help each other out.  Welcome to the site.

Ok, if it's a single territory that need be captured then you just set that territory as the win condition, but, I think you're looking for something more complex then that and with more territories?  If it's multiple territories that need be captured then, as M57 said, you could have the continent of those territories have an autocapture factory capture a single territory that would trigger the win, though, this would also involve a delay as autocapture performs at the beginning of one's turn.  As I have discovered in my previous attempts at creating features via autocapture, this delay can sometimes completely sabotage what you're trying to achieve, but, in other instances it can work quite well with the intentions of the mechanism and/or introduce interesting new effects that can be either beneficial or detrimental.  You might also have to work such effects into your board description so people can make sense of what's going on and, in your case, why they might be waiting to enjoy their victory.  You could also set up various continents of your winning territories all over the board that could trigger the autocapture of the single winning territory if you wanted to have different sets of winning territories, but again, you'd have to hold those territories to activate the autocapture.  Even if you wanted it to be any one territory of many that would trigger the win, I don't know if the win condition allows many single territories as targets, (I've not yet tried to use the single territory win condition and thus don't know if it is restricted to one territory only, or allows many single territories?) but, if it is restricted to one such winning territory then you could still set each of your winning territories to individually auto-capture the "win" territory though there would still be a one turn delay to victory for holding any one of those territories.  I think what you are trying to achieve though is possible if you are comfortable with a one turn delay before victory, in most cases?