After Annexing Mexico Should I Free Vassals

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If you're Catholic, you want to religiously convert every province to gain +5 Papal Influence per province

which totals nearly 250 for the whole of the Americas
that's 5-10 years' worth, and is enough to make you Curia Controller, and stay Controller, for decades to come.

This alone is enough to never release nations and re-annex them!

Unless of course you don't want to be or stay Catholic. I personally like being curia controller and defender of the faith for the bonuses. In my game as Portugal, I was curia controller for 250 years.