In order to force a total annexation, a victorious conqueror had to have the military force to enforce that annexation and subjugate resistance in the post-war period. This would have been a problem as the size of standing armies at the time was limited - let's use the Roman Empire in your example.

At the height of the Roman Empire's strength, power, and influence there were an estimated 45,000,000 to 120,000,000 people living in the Empire's controlled territory. According to historian Edward Gibbon, the size of the standing Imperial Army was around 375,000 men. This was during Hadrian's reign (117-138 CE). Keep in mind that this does not count mercenaries or troops levied from allied nations (Rome would provide military security and assistance in exchange for a levy of troops).

With the 375,000 soldiers Rome had (auxiliaries and legionary units), Rome had to defend 5,000,000 square miles - if you were to overlay the Empire's borders on a modern map, it would encompass 40 different countries. That's a LOT of territory to protect with a relatively small amount of soldiers to do it (I'm not getting into the Imperial recruitment system here, which could very quickly enlarge the military several times the size of the standing forces).

With that said, depending on the enemy Rome was fighting, they would typically annex a province or two at a time. For example, after the First Punic War, Rome militarily annexed the provinces of Sicily and Sardinia, but left Carthage's main African territory alone at the time. Rome would continue to annex Carthaginian provinces over the next ~100 years following three major wars and a multitude of smaller scale wars, but the main point is that Rome would beat Carthage, they would sue for peace, and Rome would walk away with Corsica or Hispania Ulterior or Hispania Citerior or some other province or two, and things would settle down.

The Romans annexed piece by piece to avoid overextension, to help effectively fight any resistance to Roman rule, to install their own officials and authorities, set up Roman institutions and culture, and populate the territory with good noble Roman citizens and their slaves to generate revenue for the state. All of these processes took time to plan, implement, and oversee, which is why you didn't see Rome do something like annex all of North Africa following one or two victories over Carthage despite Carthage not having any ability to stop Rome from doing so in the aftermath of Hannibal's defeat in the Second Punic War.

To answer your question of whether it would be better harder to extract wealth over time isn't quite accurate, at least with the Roman example here. Rome made a very big deal out of Romanizing conquered and colonized lands - they would break down the existing culture until it reached a point where it could be integrated into Roman culture and society. Romanization of conquered lands was so important to the Empire because that is what allowed the Imperial government to administrate the territory by installing Roman political systems, officials, taxes, and everything else; turning conquered people into pseudo-Romans was the easiest/best way of pacifying a population without outright slaughtering them (and where's your tax money coming from then?)

I hope this was able to answer some of your questions - this was a pretty broad subject all in all.