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The easiest route is likely to turn those planets into gaia midgame and then genetically transform the species to aquatic. With converting the gaia back into a water world late game if you desire. If your looking for consolidation that doesn't mean turning everything to robots. . . or using necrophage origin.
There is a tab on the right that lets you see all of your planets. You might need to use the gear options to see the planets. Find the planets not in your sector management tab and create a sector for that planet. That should let you assign leaders to those new sectors created. A planet will either be automatically added to the nearest sector, or is too far away and a new sector is required.
Once a sector is created for a region it dose not need to be created again... unless you lose territory or make a vassal from.
How about vasalling those planets?
I'm going to check on the sectors as soon as possible. Guess I miss a lot there without a leader.
https://steamuserimages-a.akamaihd.net/ugc/1856053838260674178/E596F7AF6F2C2D6EDB89C2DFE7030B82ADDE4A21/?imw=2048&imh=857&ima=fit&impolicy=Letterbox&imcolor=%23000000&letterbox=true
The sector menu only shows active sectors.
For the sectors, the planets outside your core sector are in a separate category called "frontier sector", at the bottom of the planet list in the outliner (right screen edge).
There you need to create a new sector from any planet's interface.
Ideally so that the new sector covers as many other planets as possible, it is always +4 jumps from the sector capital.
Can't comment on slavery builds, however the original ethics of species you conquer does not matter. Pop ethics are determined by the various ethic weights present in your empire, so the population will always adapt to those over time.
https://stellaris.paradoxwikis.com/Ethics#Pop_ethics
edit: Found it, thanks!
In the interface of any planet, there's a button somewhere at the right side. Click on that, it creates a new sector and you can assign a governor.
Ok great that's exactly what I'm doing now, changing everyone to aquatic and terraforming their planets.
I'll check for the Slavery part.. I mean, if they are all aquatic too I see no reason keeping them as slaves but I have no idea about the consequences.
Residency allows them to be free and if your facing revolt or don't want to move a pop from another colony is good way to keep control of a new world.
I tend to give freedom first until the original stability loss from war is up, then I'll decide if the colony can maintain its cost.
Honestly with the amount of micromanagement conquering new planets brings mid-late game, along with severe short-term negative impact on economy, simply killing everyone and then re-colonizing what's really interesting/useful for some reason is the way I always go with. However evil that might sound.
Earlier on messing with conquering inhabited planets makes more sense, but then i generally tend to give species full rights apart from may be migration (in case like yours where environments are not compatible this allows certain level of control on who lives where), and then modify them to whatever template i do for main species anyway...
And this will depend a lot on specific empire you are playing too...
But it is an option anyway.
IMO there are no ideal solutions here. Choosing what to do is a matter of personal preference and conditions of specific playthrough...