If you change your mind, you can remove a colony using the Establish Colony button. These resources cannot be discovered if the state is isolated. Constructing Ports and Railways is also crucial for connecting colonies to your national market - this will allow you start discovering the hidden resources there. 
After raising infrastructure with Ports and Railways (if necessary), prioritize these buildings.
That said, many colonies will have precious raw materials to exploit. This impacts its infrastructure and its ability to contribute conscriptable battalions, so you shouldn't be trying to rely on these states before fully colonized. This means the state spends a ton of time unincorporated. Your colonies grow province by province until they have colonized the entire state. There are a few things to keep in mind when playing a colonial nation:
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