Expanding a bit, why did 18th/19th century colonial empires rely on a dizzying array of vassal states, dominions, condominiums, and other special administrative classifications to run their overseas possessions? Why were the colonies considered separate from the mother nation instead of simply saying:
"Alright, this land is part of Britain now, just like Cornwall, Scotland, or Wales. Congratulations, you're all British citizens."
I find this to be especially bizarre when compared to the system used by American and (to the best of my admittedly limited knowledge) Russia, where colonized land would be directly integrated into the nation "proper," and ultimately administered in the same way as the "core" regions.
Thoughts?
There were many reasons and I'll list several of the main ones and give an explanation at the end;
Colonial subjects (non-Europeans) lacked rights before the law, property ownership rights, rights to travel, dissent, or vote. So for example if Britain or France annexed and directly incorporated all of its African colonies, all the natives would become constituents and could vote in parliamentary elections and elect representatives. The European settlers also desired total political control over the colonies, so this worked for them.
The European imperial powers wanted to give the impression to the world they were not 'stealing' the land for themselves, but rather they were on a "civilizing mission" to bring education, government, and political statehood to Africa especially and Asia. So the colonies were portrayed as legitimate African or Asian states albeit under overall European rule. The analogy frequently made at the time was a parent and their children, and the children were the Africans and Asians who were portrayed as of inferior intelligence who required their European saviors to help them because they weren't capable of having independence.
That is how the Europeans managed to conquer all of India and all of Africa etc. and its many millions more people because they encountered less resistance through portraying themselves as just another local power and not as "foreigners" who wanted to steal the land.
Most European powers had a laissez-faire style approach in their colonies, and they rarely imposed their own culture on the natives with the exception of Western institutions of government and education that were promoted. For example the French never went into a random village in Mali or Chad and forced the people to speak French and adopt French customs. That would have caused so much unnecessary ethnic and religious conflict and the Europeans did not have the people to directly rule over hundreds of millions of natives so these policies were avoided. Outside of the capital and major cities, the Europeans did not care how natives lived and vice versa most natives were content enough with colonial rule that there was a long period in history where they did not rebel at all.
The third reason is taxes and if colonies were directly incorporated they would become a drain on tax-payers in Europe and would require direct subsidies for their budget. The colonies were far less developed and industrialized than Europe was, since they were used for the harvesting of raw materials and industry was neglected, so under the system of colonial rule they were more economically beneficial for Europe.
This is self-explanatory. Citizens in Europe did not want a land populated by majority non-White Europeans to be considered part of their nation. The land did not have the same historical and cultural meaning for them.
Conclusion
In the 20th century with the creation of the UN and demands for decolonization, the European colonial powers attempted to incorporate the colonies in order to give the impression they were integral parts so de-colonization did not apply.
Portugal under the Estado Novo regime in 1951 created the província ultramarina (overseas provinces) status for their colonies because they wanted to keep them and considered Portugal to be an intercontinental nation. Millions of ethnic Portuguese lived in the colonies and they were under Portuguese-rule for close to five-hundred years. Eventually Portugal lost all these colonies in wars and the conservative regime fell in the 1970s.
France annexed Algeria into Metropolitan France but this exposed many problems in the 1950s because French secular law was imposed on conservative Muslims and French was made the official language over Arabic and Berber. France did this because Algeria had strategic and historical relevance and was home to millions of ethnic French settlers, and also they wanted to portray Algeria as an integral part of France to avoid decolonization. The Algerians subsequently revolted in the 1960s.