When you conquer another nation's Protectorate, the Protectorate troops and containers stay loyal to that nation. This is a very good design decision; simulates Polish troops still fighting for Napoleon in 1814, and such.
So that's why I think country list still shows them as "X Protectorate"...because X still uses the troops. It's probably a game mechanics necessity.
On the one hand, I like the idea that the troops might remain loyal to the old protector. On the other hand, either a) it would be better for them to come under the control of the conqueror (I honestly can't remember what the original intention for this was right now), so they should, or b) we need to make this sort of situation more clear on the country list somehow.
Oh--*NOW* I think see what's going on.
jimwinsor, when you conquered Bavaria, and Nuremberg, you conquered them piecemeal--IIRC we either established this during one of the early patches, or else it was a part of the game from 1.0 onwards. What happens is, if you conquer a province, you get that province and that province only. So, if you conquer Bavaria, you just get Bavaria--you don't get any non-independent provinces that were attached to it, like Nuremberg for example.
So, what happens to Nuremberg? Unfortunately, it becomes un-attached from Bavaria. What's more, according to the new rules, if it's independent, it becomes--voila--"Bavaria"! You now have a conquered non-independent province (namely, the province Bavaria) that cannot be liberated, b/c it is no longer an independent country.
(If Nuremburg is a protectorate on the other hand, I believe it comes under the direct control of its protector, i.e. it is directly annexed--the same status as conquered. However, in that case, if you conquered it as well in a subsequent turn, it would still not be associated with Bavaria anymore--i.e. it would then be a non-independent province under your direct control.)
The funny thing is, you can now conquer Nuremberg--and, if it's a scenario in which "Bavaria" (the country, not the province) only has two provinces, then once you've conquered Nuremberg, you've also conquered "Bavaria" (the country). However, by now, "Bavaria" has only one province--namely, Nuremberg.
Here's the interesting thing, though--you can now liberate "Bavaria" or convert it to a protectorate--so should you be able to liberate Nuremberg province, or Bavaria province in this manner?
It seems as though the game is remembering that Bavaria province was the original capital province of "Bavaria"--and so, it's only letting you turn that into a protectorate, because Nuremberg province and Bavaria province no longer have anything to do with each other. We might want to look into this--I'm not sure this is the intended behavior.)
(I think part of the confusion here is that the country "Bavaria" has the same name as the province Bavaria. Unfortunately there wasn't, and isn't, much we can do about it right now. We could go back to the old way of doing things, but that didn't seem very popular.)
Now, in the other case--the units that remained under their original flag, even after you conquered the country they were from--that remains quite puzzling. I'll have to continue thinking it over.