Italian AI and Albania
Italian AI can conquer albania, even if it has 2 infantry divisions. At least I have an AI capable of doing so. Only problem is it uses up half the Italian divisions to do so. Thus after Albania is conquered, Italy has lost half its divisions -> not an option, it weakens italy too much.
The problem is not too little transport capacity, but the fact that Albania is very well defendable from sea invasions. 1 infantry division Italy can handle, though with severe losses, 2 is simply too much. Try it as a player, invade Albania by sea when it has 2 inf. divisions. You need a Normandy style invasion force (or slightly less + continous air support) to crack the Albanian troops. Must say, if the AI would support the landing with bombers operating from mainland Italy, the losses would be less severe as the AI does reinforce the landing as fast as it can. Don't know how to tell the AI that though.
Greece, like Copper Nicus said, is definately not a problem. I've seen Italy win on its own against Greece, before it joined the axis (thus no British interference, thus unopposed landings in crete and a second front in southern Greece, thus circumventing the fortifications. Quite impressive, although probably a random fluke). It even started the war on its own.