Is the annexation of a vassal giving you the control of its colonial nations?
I vassalized Portugal. Ten years after, I can annex it. I must choose to wait or not for Portugal to make some colonies before to annex it. In case I will gain its dependencies later, I will wait. Else I would annex it now.
Is the annexation of a vassal giving you the control of its colonial nations? Do you gain all its dependencies?
Yes, you will gain all colonies.
They will however keep their name and color IIRC.