The rules seem clear enough.
In section 3.2 of the Rules (v3.0) it lists all the Victory Cities (VC) : “Each Objective City is worth one Victory Point. These cities are; Berlin, Tokyo, Rome, London, Calcutta, Sydney, Paris, Washington D.C., Nanking and Moscow”. So you get a point for either capturing or keeping them.
According to section 3.1 these VCs must be added to the national objectives found in 3.4. So it’s one point per VC that you alliance owns at the end, even if you had it at the start of the game. Yes, the Allies start with more cities than the Comintern, but this is supposed to be balanced with the possibility of losing territoiries in your Home Country (3.3.) and the difficulty of the other national objectives (3.4).
The Italian victory in Abyssinia courts towards the Expand the Empire objective but you must still possess it at the end of the game : “Score 1 victory objective for each new land zone Italy Possesses at end of game that Italy did not Possess at start of game (regardless of value).” (v3.3 National Reference Sheet or Table 3-1 of the Rules). Therefore, it’s not enough for Italy to win this conflict (easy enough), you must still own it at the end (not so easy).