I'll try to answer your question, sorry if it doesn't satisfy you (especially since this subject isn't really my specialty). This subject is complex and is still quite debated by Romanian and Ottomanist historians, but i'll primarily give the perspective from Ottomanists, more specifically the works of Viorel Panaite

Why didn't the Ottomans "annexed", or, in another language, "conquer" Wallachia and Moldavia? Well, it's because for the Ottomans, they already did so.

On the 14th and 15th centuries, the Wallachians and Moldavians were nominally considered both by the Porte and local princes themselves as "homage-payers", temporary tributaries who acknowledged their allegiance to the Porte. However, this wasn't really 'permanent', and there are interruptions in their status as tributaries. This started to change in the 16th century, when the Ottomans under Süleyman I conquered the city of Belgrade in 1521, defeated the Hungarian army at the battle of Mohács in 1526, and occupied their capital, Buda in 1541. All these led to the disintegration of the Medieval Hungarian Kingdom and the establishment of a definitive Ottoman control over the territories north of the Danube. Further, the campaign of 1538 against the Moldavian prince Petru Rareş, the second conquest of Buda, and the transformation of Transylvania into a tributary principality in 1541 affected the balance of power in the region and led to complete and long-term submission of the Principalities of Wallachia and Moldavia.

According to the Ottoman view, the territories under Muslim control were considered “conquered”, regardless whether or not they were actually conquered "by sword" or "submitted willingly". Despite various resistances and peace agreements from the 15th to the mid 16th century, the Principalities of Wallachia and Moldavia were eventually conquered by the sultans, who invoked the “right of sword” (kılıç hakkı) over them. With this, the Ottomans saw the Principalities of Wallachia and Moldavia as more or less the same as ordinary Ottoman provinces under the universal Ottoman sovereignty. Süleyman firmly stated himself as the landlord over Wallachia and Moldavia, with both Principalities are his "Well-protected domains” (Memalik-i mahruse), their inhabitants were the sultan’s subjects (re‘aya), and their princes his tribute-payers, who were appointed to rule Ottoman provinces (vilayet) as governors (bey)." We could further see this on a letter from Süleyman to Polish King Sigismund I regarding Petru Rareş:

The voievod of Moldavia, as well as that of Wallachia, is my slave and tribute-payer, their possessions are included among our other Well-Protected Dominions, like Bosnia and Semendria, which are my estates ... We have been informed that the above-mentioned voievod dispatched an envoy to you. Who is he to dare to have the audacity to send an emissary to you? He and the voievod of Wallachia are my tribute-payers and slaves. Consequently, we issued severe orders so that they should not dare to dispatch envoys, no matter to whom, no emissary is allowed to be sent to them either. If someone has a question to them, he must appeal to our powerful Porte, which is open at all times, and state what he needs

This started a trend where in Ottoman international relations, Wallachia and Moldavia were stopped being treated as subjects but rather "objects" of the Ottoman Empire.

Also notice the term used. Re'aya was a term used for tax-paying subjects of the Empire. From the beginning of the 16th century, the term most used for the rulers of Wallachia and Moldavia in Ottoman sources was that of voyvoda. This term was adopted from Slavic and over time, the position was seen as being synonymous with the subaşı, a provincial official in charge of collecting revenues or bey, an Ottoman governor of the provinces. Voyvods were also included in the ranks of Ottoman dignitaries, and had the privilege of at least two horsetail-banners during war, just like beys. They were given imperial diplomas (berat) and were ordered by hüküms, like any Ottoman beylerbeyi, sancakbeyi, or kadi. The status of tribute-payers further meant that they must observe imperial orders and fulfill all political, military, and financial duties commanded of them by the Porte. Some of it were the payment of the harac (tributary) and maintain subservient and cordial relations with the Porte, which were generally expressed by the phrase “be friend of our friends and enemy of our enemies”. This implied that as a rule, they must adopt Ottoman foreign policy and support the Ottoman army in imperial campaigns. By all accounts, the Ottomans considered the Principalities as synonymous with a province. Indeed, this stance can be observed in various letters, dispatches, and fetvas from various figures of the Empire. For example, Sultan Mehmed IV dispatched an order to Ottoman authorities on the Black Sea regarding the treatment of Wallachians:

There is no imperial permission from me that (the Wallachian population) should be treated like the Polish; the Wallachian is not an enemy population, it is the same as the population of my other Well-Protected Dominions

A document from 1608 stated that "the subjects of Moldavia are on the whole the same as the subjects of my Well-Protected Dominions", and mufti Ali Efendi Akkermanlı stated in a fetva that the Moldavians are re'aya and zimmis. As a result of their zimmi position, Wallachians and Moldavians enjoyed basically the same rights regarding their life, liberty, possessions, and religion as other subjects of the empire. Further, Imperial orders sent to the Principalities frequently stressed the voyvods’ duty to work for the “peace and security of the subjects,” the “welfare and contentment of the re‘aya,” and the “defense and protection of the re‘aya.”

To further protect the status of Wallachia and Moldavia as Ottoman provinces and reject political claims of neighbouring Christian rulers, “patrimony of the sultan” (mülk-i mevrus), territories from the “house of Islam” (dar ül-İslam), and parts of the "Ottoman Empire" (Devlet-i Aliyye) or "Well-Protected Domains" (Memalik-i mahruse) were usual labels applied to the Principalities, assimilating them to the entirety of the Empire as provinces. However, terms would also be applied to affirm their autonomous status like “house of tributary protection” (dar ül-zimmet), “freedom” (serbestiyet), and “privileged provinces” (eyalât-i mümtaze).

To end this, starting from Süleyman's rule, Wallachian and Moldavian princes increasingly acknowledged that they belonged to the Ottoman state and that their supreme ruler were the Sultan. For example, On 1537, with a Polish expedition impending against Moldavia, Petru Rareş affirmed in a letter to the Polish king that

This country belongs to the all-high and victorious Turkish emperor, my all-generous lord, and he has given it to us to rule over it: long live His Imperial Majesty ... And we hope that the Turkish army will come to defend the Emperor’s country

In conclusion, the Ottomans did conquer Wallachia and Moldavia. It's that in their perspectives, the Principalities are autonomous Ottoman provinces. It's actually not that strange, the Ottoman State was pragmatic, and autonomous provinces governed by local strongmen who paid tributes and supported Ottoman were not unusual. Algeria, Tunisia, and Egypt were some examples of Ottoman provinces ruled by autonomous, yet subservient strongmen.

Sources:

The European Tributary States of the Ottoman Empire in the Sixteenth and Seventeenth Centuries edited by Suraiya Faroqhi, Halil İnalcık and Boğaç Ergene

Tributary Empires in Global History edited by Peter F. Bang and C. A. Bayly

Wallachia And Moldavia From The Ottoman Juridical And Political Viewpoint, 1774-1829 by Viorel Panaite