How does this work? What should I be control clicking?
If you have the Realms map mode selected, you can hold Control + Left Click on any realm to look into the vassal view of that specific realm. So if you click on the HRE directly on the map, it will change to show the vassals within the HRE, rather than the independent realm. This also works on the vassals of a vassal. So you can do it in several steps.
Control + Right Click will close the vassal view and go back a step.