What happens if I colonise a planet with only the first stage of the colonization tech, then research the second?
You get the lost space back, yes. There's no danger in colonizing early.
Slight correction: the penalty is for Social & Military Production, not for the number of tiles. The number of tiles stay the same; only the penalty gets lifted when you've researched the Advanced version.
Reference: http://forums.stardock.com/158145/page/1/#2272283