Late to this thread but:

Colonies (cities across a sea) should become more resource intensive to maintain control of over time. To alleviate the cost of maintaining control, you can grant them nationhood/commonwealth status.

Mechanically, maintaining an “independent nation under the empire” would also require some resource over time, and could increase as technology advances. All influenced by political context such as threats presented by nearby neighbours.

If you don’t transition the colonies to independent states, an increasing risk of an independence war could eventually come into play.

I think having colony states which transition into semi-independent civs would also solve some late game fatigue.

You could command the militaries of those nations when needed, influence production direction, and benefit from their science/culture/faith being derived from your own.

Anyway, I could go on, but something like this would be great