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Only eastern nations (maybe also seleucids?) can make satrapies and they work very similar to client states.
If its nation's last settlement there will be the fourth icon for making client state
Ok so, why make a client state:
1) you don't have to hunt down the rest of their troops if they're in an annoying spot
2) the client state will rebuild its armies, defend itself, and even expand if you give it time - if your forces are stretched it might help you out, and in any case you shouldn't need to defend it
3) you can levy troops from the client state. As Rome this is less compelling because you can get most kinds of troops you'd want as auxiliaries, but there's still a few troop types you can't get that way: pikemen, cataphracts, high end barbarian infantry.... you do have to be quite patient doing this though
4) the client state can sometimes be good bait to get one of your allies to betray you, if you're the type (like me) that has a bit of trouble doing all of the betraying themselves...
Some factions are great to have as client states as you can recruit units from them each turn, there not always that great tho
You need an army in there province/country to recruit there troops