I am no Modder, so people should correct me if I'm wrong:
The AI does not do quests as a player does them. I believe a quest is only a single die roll for them.
In any case, it would be pretty boring if all AI's were out doing the Master Quest, right? And it would be extremely annoying if you had conquered 2/3 of the map and suddenly get defeated because someone finished his Quest.
If you do not like this advantage over the AI, don't do the Quest!
Personally, I only do the Quest if I am bored and have clearly won the game, but it will take too long to conquer all AI's.