The British in particular had a number of terms that they used to describe their imperial possessions, be it colonies, protectorates, dominions, mandates and so on. The distinction, as far as I'm aware, is that studies of "colonialism" look at how these territories were governed and ruled (whether they were nominal "colonies" or not) whereas studies of "imperialism" cover a whole range of activities that may or may not have involved the governing of anyone.

This contrast shows up in the differences between works like Colonizing Egypt by Timothy Mitchell (which was de jure still a part of the Ottoman Empire even though it was fully occupied and administered by the British from 1882 to 1914, and then as a "protectorate" from 1914-1922) and Western Imperialism in the Middle East, 1914-1956 by D.K. Fieldhouse which covers the entire imperial project, including skirmishes and wars between powers and negotiations that came to nothing. Likewise we can look at "imperialism" in Europe in this period, but it wouldn't make much sense to discuss colonization in quite the same way. As for why territories [edit: in Europe] that were occupied and governed aren't usually termed "colonialism" I suspect that would get into debates over power relationships and racial or subaltern notions, but that's not a debate I'm particularly familiar with.