Well, first of all, the devs dont want it to be and certainly isnt an historical simulator. Then again if you look at Egypt for example, they there officially independant by 1922, ending the protectorate over egypt. Sure, they were, just as any ex-colony would be, still heaviely influenced by the UK, but still were independant. The UK only had direct controll over sudan and the suez channel, not over egypt itself. Egypt should be, as declared in the declaration of independance, guaranteed by the UK tho.
It would certainly add to the gameplay, especially diplomacywise to break off some of the nations that are under direct controll, like egypt. The axis could heaviely influence egypt and support an fascist movement which could eventually coup, resulting in an civil war, in what certainly both the axis and allies have interest in their side winning in.
Protectorats on the other hand should remain under their direct controll, since that way they can simulate getting those important strategic resources from them, without having to trade with their own protectorates, which certainly shouldnt be able to trade with fascists or communists for example.