This is due to a lot of world diplomacy and the establishment of certain international rules. The reason Napoleon France was not annex was because of the complex web between the other empires relied on the concept of "Balance of Power", who would be annexing France? Who ever did it, would become the new Napoleon France, and ie: the new enemy. In Eu4 terms, there would have been massive Aggressive Expansion modifiers to whoever did, and there would be a coalition against them. So it was in the best interest of the countries involved not to annex, but to have an independent 'friendlier' France to keep check.
Your example of Nazi Germany is not that great since Germany was pretty much annexing Poland and Western Russia straight into them. The only reason Vichy France was as it is, because it was not in the Nazi's interest at that time to actually annex France outright. (Afterall, they swore fealty and was working on behalf. Why cause more unrest and trouble for yourself?) As for Japan, it wasn't America's interest to annex the country, but they effectively Americanised it and created one of those biggest supporters in the Pacific with them, similar with Western Germany. The concepts of self-determination in Liberal Democracies is a major concept, so many powers like the British Empire were being de-empired.
As for Stellaris, the creation of such diplomatic weavings have not been done with others powers. So if you go and invade them over there, who is going to stop you? Especially since they are the only aliens you have come across so far. It would only be in the later stages in the game where you might find yourself in a situation where outright conquest would be counter-productive.
I wouldn't call Poland anywhere near equal to Germany though. Poland wasn't an empire, it was (at that time) a backwater. They had horses fighting tanks.
Also Vichy France did not swear loyalty to Nazi Germany, they were fully independent. Germany maintained direct control of most of Northern France, including Paris, but Southern France was actually independent. The reason Vichy France was so closely aligned to Germany was because its leadership thought the Germans would win the war, and they didn't want to end up on their bad side. That was, however, entirely Vichy France's choice.
Thus far in human history, realism supports taking small (or medium) bites. Alexander took a huge bite, and it didn't work out too well.
I will agree that a system that allows you to attempt to annex all 20 planets in an empire is ideal, I will disagree that vanilla Stellaris should be that game. A system that can do true justice to this concept would be a huge undertaking.
It would need to do things like: Allow other powers that have been completely uninvolved in the war to interfere if you try to take too much (think Prussia in the Napoleonic era, they only stepped in when France got out of control. Or France in the 30 Years War, Austria was getting too powerful and France decided it needed to be brought to heel). Introduce a geometric progression in revolt risk as more territories are added, each territory is going to tax your empire more than the previous. Severe economic penalties associated with establishing your administration on distant, foreign worlds. And a lot more.
This would be an awesome DLC, but I feel like Stellaris at release should just go with more or less what it has.