If you want to controll the lands of your vasalls you have to integrate them. If not the vassall decides if he heeds the command of his rightfull emperor, who technically outranks you, or not.
Client states even can do this, which is utter nonsense. They probably shouldn't be in the HRE when created by a non-emperor at all.
Depending on your goals of course, but life within HRE is just fine if you take 1 province every 10-15 years and you make that province count (i.e. develop it up).
Force vassalization is more AE-efficient in the HRE. Generate more AE elsewhere initially.