I have never annexed vassals, but that is more a personal taste, partly because if there is a way to figure out how to see which terrain bonuses a vassal has, i never figured out how to know. But you should know that you can only annex if it's next to one of your provinces, so if the vassal is in your exclusive zone, annex it, if not, you probably can't anyways
Annexing unclaimed land is possible, but also only next to your provinces, the difference between annexing free land or an existing city is, that you always have to pay for the free land, you can't take it by force. and you need 1k free workers.
Vassals you can take anywhere on the map, as long as your vassal logistics is high enough, so there should be enough of them
Imperial routes are mainly for better gold income, each province has a trade potential which depends on the amount of your workers, or the special resource in case of trading posts. For each lvl of imperial routes you get 10% more of this trade potential, up to 100% with lvl10 trade routes.
