I don't think that it is a very gamey strategy -- in HoI or AoD this strategy would be also possible; it would have been even easier to annex Luxembourg due to the lack of events for the Netherlands and Belgium that trigger a unified front of the Benelux countries. Instead, a gamey tactic would be to annex Luxembourg in the very beginning to harness their IC, manpower and resources -- but this wasn't my prime intention. I could have attacked Luxembourg after declaring war on the Netherlands, yes, but I just thought that it would be not only a little bit more realistical to make it a part of my war preparations but also fairer for the Allies. Just attacking the Netherlands and sparing Luxembourg would have been probably one of the cheapest tricks possible, as my belligerence would not be high enough for France to declare war on me, allowing me to steamroll through the Low Countries without any resistance.
My plan is to prevent any French expeditions into Belgium ...
If you annex them within the day of the declaration of war the conditions of the event, that are as far as I know checked every day, aren't satisfied and thus the event that triggers a Dutch and Belgian response does not occur.
The Demand Territory mechanism really needs revision -- it would have been possible for me to diplo-annex Denmark if I would have tried repeatedly, for example. The chances for secession are way too high for non-core provinces. While I'm not unhappy about the chances to demand cores, it is just ridiculous that smaller countries are willing to secede their own core provinces to a bigger country that only has claims without cores on their territory. Such a situation would only be realistical if a massive and intimidating show of force is conducted, and even then the chances should be slim.