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If you go the venice route, the fleet blockading the strait helps both to protect the capital, and as a place to hide your army so any big blobby stacks find somewhere else to go for their entertainment. Occupying Austria's gold province and blockading their port is usually enough to get them to think about white peacing out so they can get on with their own war. Austria is particularly vulnerable to trade protection wars, and this is a good way to lock them into truces to prevent them declaring war on you with conquest CB on an italian mainland province.
As milan, detouring at the start to munch on venice is a good way to build up military power. Again, if the alliances + trade league is too large, just wait for them to be at war. The OPM italian nations you can RM+Alliance+Improve relations and vassalise them diplomatically once shadow kingdom expires, assuming you have blobbed elsewhere a little.
Genoa: Your first order of business is securing allies. France is a great ally since they can crush Austria and scare the Ottomans into not attacking you. Savoy is also a good second ally if you can get them to like you. You can attempt to get Poland as an ally, but sometimes it doesn't work. After those allies you can grab an assortment of any other allies. Some other Italian states are good allies expecially if they are bordering someone you are going to war with. You can promise them land, then backstab them by not giving them anything (Cossacks Expansion). Later you can proceed to take their land too. Most provinces in the HRE Italian region have give high AE so you'll only be able to take small amounts of land at a time, sometimes only 1 province, but this is why Genoa is a good choice. While you're waiting for AE to drop in Western Europe, you can focus on building a Black Sea colonial Empire. Theodoro, Crimea, and Circassia are all great targets when you become more powerful in Western Europe. After the Shadow Kingdom event in the 1500s Central Italian states will no longer be in the HRE and you should be albe to expand at your own pace.
I have the opposite strategy. I always have Genoa as my first and most high priority target in the Italy region because of their Black Sea provinces. You will not be able to core these provinces until Dip tech 9 unless you take Exploration and have the extra colonial range (coring range)
The strategy that I posted was for forming Italy as Genoa, but I agree with you though. If you are forming Italy as any other Italian nation, then you should ignore Genoa's Black sea colonies since you can't core them until later as you pointed out.
If Genoa has lost any provinces, you can actually force-vassalize them in one gulp. But depending on which provinces were lost, will result in a coalition.