I've been theorising that if I annex some lands of a foreign religion, convert them, then release them as a vassal, and continue to feed them, they will convert the new territories. Does this work? They should accept the new province as it has their historical religion (since vassals won't accept provinces of a different religion).
This can work, depending on how you feed the vassal. You can transfer occupation of provinces to your vassal during wars and then give them the land directly in the peace deal, which should work for any province. I think. It's a relatively new mechanic. You can also take them yourself and sell them, but this will only work for provinces the vassal has a core on, if there are religious differences.
Can someone explain why the religions of Hinduism and Confusianism aren't one colour? (Confucianism has two shades of pink/purple and likewise for Hinduism)
Sunni provinces in a Hindu country, Buddhist provinces in a Confucian country.
What Casus Belli can I get apart from a standard claim fabrication, defender of the faith (and from religious ideas), and enforcing trade power as a result of an embargo? Could I have had a CB against Brunei?
Colonize a province next to Brunei and you'll be able to fabricate a claim. The religious CB will be powerful once you start expanding into Southest Asia. I do think it requires a direct land border, so you won't get it if you have a vassal as buffer.
In the past when I had to deal with something like Ayutthaya, I would make them return cores until they were small enough to be vassalised. However, this led to someone else such as Khmer or Lan Xang getting fed and being an eventual problem similar to Ayutthaya. What is a better approach if the goal is to just expand into their lands?
I'd rather annex provinces directly, rather than give them to someone else, unless I'm already overextended. You're very geographically isolated, at least until you expand deeper into Asia, so it's not like you have to worry much about aggressive expansion or coalitions.