Yeah this is weird and frustrating. There's something very inconsistent about seeing a 2% WS but with full OE and dip cost, and then costing 100+ ADM and 7 years to core it - yet when you conquer Indians for example, which could easily be neighbouring territories to the colonies, you get no OE, tiny core cost, and coring in a couple of years.
Colonies should be able to change hands much more easily than home territories, especially as vassal feeding possibilities are very limited, or completely impossible, with many of these territories.
I just had a big colonial war against Portugal, Castile and Aragon, capturing and wanting to take several provinces in the Caribbean, two in Brazil, and several in Africa near Mali. To take them all would cost about 35 WS, and the AE would be fine because it's all so distant. Even the cost in dip points of 400 I'm not too worried about. But 200+ % OE? For 7 years minimum, despite spending hundreds of ADM points? And then another few years of lesser OE while I spend more hundreds of ADM points? That's not fun. And I don't have a single opportunity to feed to a vassal, because none of these territories is anywhere near any starting nation, and none can be released as new nations.
I can understand the various restrictions on conquest that apply in Europe and where there are established nations. But I really think they have to be relaxed in the new world - and the WS suggests that the intention was to relax that, but it doesn't seem to have been fully followed through with. These are meant to be dirt-cheap, not-long-established provinces that change hands often, and that the home nation doesn't care vast amounts about (certainly nothing like they do about home provinces.)