Superior Belgian city? Good grief! (5,4)

I believe the answer is:

liege lord

I'm a little stuck... Click here to teach me more about this clue!

'superior' is the definition.
(I've seen this before)

'belgian city? good grief' is the wordplay.
'belgian city?' becomes 'liege' (I've seen this before).
'good grief' becomes 'lord' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
'liege'+'lord'='LIEGE-LORD'

Can you help me to learn more?

(Another definition for liege lord that I've seen is " Oil ledger (anag) - feudal superior".)

I've seen this clue in The Independent.

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