What the problem is: So, this problem has been discussed in the past, but I did want to bring it up again. Cavalry. They are simply too mobile when cut off in the rear. The issue here is that Cavalry can move 6 hexes when they are in supply and seize a city. From that city, assuming they are now below 5 supply, they can move to almost any other city within 5 hexes. Detachments don't exert a zone of control, so they aren't slowed down by anything behind the front. It doesn't matter if the city is completely cut off... so long as their supply is greater then 0, which it is in a recently seized city, they can move 5 hexes to another city. Any one cavalry doing this means I need to garrison every city within 5 hexes in order to contain a single cavalry corps regardless of whether it is surrounded or not.
Why this is an issue: There are a couple of reasons this never happened in real life. Strategically cavalry from every nation was as tied to the rail system as the infantry... indeed, more so. A cavalry division with 25% of the manpower of an infantry division required the same number of trains to keep supplied (fodder is very bulky). They simply couldn't go tearing off into the rear without regards for their supply lines like they do in this game. Furthermore, cavalry was incredibly vulnerable to machine guns. Light opposition stopped cavalry divisions much more readily then their infantry counter-parts. They could skirmish. They were reserved for the breakthrough in most cases, but it was a role they were spectacularly bad at throughout the war.
Solution: The most practical I think is to allow maybe 5 or 6 garrisons for each major (unbuilt at the start). That gives us a cheap unit that we can't put in the line because they will die very fast, but that can lightly hold certain key points behind the line. It doesn't require any mechanic changes, but does simulate the rear area and replacement troops that make the behind the lines antics completely unrealistic. The garrisons we get as Russia are most useful in this regard... they allow me to prevent a small breakthrough in the Ukraine in 1914 from prematurely ending the game. The Germans and the Austrians need garrisons too. I've played too much cavalry pingpong, using 5 infantry units to track down and destroy 1 cavalry corps that has no logistics supporting it.
Other options include giving detachments a zone of control (ideally just effecting other detachments and cavalry, but understand mechanicswise that probably isn't possible) or reducing the movement points of cut off (but still supply greater then 0) units by 50% instead of just 1.
Bottom line, cavalry jumping from city to city behind the line is gamey, unrealistic, and unfun. The mechanics encourage it right now though. Give us the means to stop it please.