Isn't the idea of war goals that you can annex a whole huge country, BUT you wouldn't, because the whole World would be so outraged, that suddenly you would be at war with everyone... Just like it was in real life..
Play some "Diplomacy" (PI even made a game for this) then you will understand the political climate of the period (if you don't already
) or go totally insane... You would gain nothing, but trouble if you gobbled up too much at a time, because all your allies would stab you in the back...
An example is Prussia in 1864-1870 taking provinces of their neighbours (which they had some legitimacy in) and uniting as Germany. But first after a win in WWI could they force a customs union on every country from France to Denmark to Italy and anything in between (indirect annexation through confederalism with time turning to federalism... just like they did Germany).
Prussia needed 3 small wars to unite and then one great war, to rewrite the map totally.
Sidenote: Germany annexed Bohemia and Monrovia, Austria and parts of Poland and Italy in WWII, France was occupied and historians expect they would have got the Versailles treaty back in their face, had Germany won... But they where never annexed.
Vichy was set up, so the French would fight for their own colonies, since Germany didn't have the manpower to occupy them, and they knew France wouldn't just let the UK take them over.. There was also no reason to occupy the south of France, when you are fighting the UK and Italy might get pissed of if you take parts of the Mare Nostrum coast.. And you need them for Barbarossa...