Yes. Those provinces are flagged as "Distant Overseas", because they're on a different continent to your capital and don't have a direct land connection. This applies a 90% penalty to their tax revenue, increases their stability cost, makes missionaries less effective, limits their trade good production to 1.0 units, and instead of normal production income, you get "tariffs" equal to 50% of the production income.
(Also, you have to worry about "tariff efficiency" - unless you have at least one big ship or light ship for each distant overseas province you own, you will not get the full tariff income from your distant overseas provinces.)
It's worth noting that most of the sub-Saharan provinces are only worth taking if you're already a blob (so don't care about their impact on your stability cost or tech cost because hey, what's one more province when you've already got 200?)
You could go and conquer the provinces of Judea and Mecca. (And Roma, if you decide to abandon popery once the Reformation starts.) Each of these gives 0.5 missionaries/year and 1 prestige/year (Roma only does so if you're not Catholic).