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also they don't pay taxes, which means they'll have more money to spend on standard of living goods .. but, no taxes for you.
- Colonisation is if you use the goods for exporting at a profit, or cheap goods to feed your market (kinda like how it happened in real life.)
Hilariously enough, if you're a nation in Africa you're even more incentivized to colonize than the recognized and major/great powers simply because of the number of major expansion options you'd be ignoring. For instance, if you look at the Great Lakes states, you realize that unifying them gives one full state and about a third of another, along with zero sea access. They're locked into being a non-entity unless they somehow get sea access, which requires colonizing two states. On the other hand, if they can lock the major powers out of Kenya and push Portugal out of east Africa, they have a large portion of the continent to themselves.
So, functionally, the big three reasons to colonize are if it's your only expansion option, you desperately need coal or iron, or you're already a major player on the global stage and want to ensure nobody can challenge you.
as others said, not incorporating means no taxes, but also no costs for gov programs either. theyre just there for resource extraction.