I guess you took exploration instead of expansion?
My main reason for not being a protectorate is that I want to have some vassals. At this point I'd rather spend diplo points to expand rather than admin points. I'm looking to Oman and mutapa next, though with all the gold I'm not sure I can take mutapa in one war.
If your a protectorate do you get called to arms if the protecting nation is attacked?
What did you do about religious unity?
Exploration first yes, though I took expansion later mainly for the CB against asians (Overall, I went Exploration, Admin, Expansion, Trade, Quality and I've just picked up Maritime; I want all the trade in the Indian ocean going into Ethiopia). Exploration is really important as you need to get round the Cape to westernise. Sitting and waiting for the Europeans to come round no longer works as they make all their provinces in south/east Africa trade companies which you can only westernise off of if you conquer, rather than just bordering. Admittedly, the way I did got in a position to westernise was a little cheesy (you can core provinces that border a vassal even if they're outside of your normal coring range), but since WoN it's become pretty awkward to do it "fairly" as a nation east of Europe.
You can still have vassals as a protectorate, you just have to annex them first then release (I did this with Funj [then diploannexed them to save on admin points] and Jolof [for westernisation]).
Nope, you don't get called into your protector's wars. Though in return, you can't call them for help when you're attacking, only when you're attacked.
Converted everything to Coptic (barring a couple of my high BT Indonesian provinces, but being part of a trade company seems to make it irrelevant for unity). Grab a theologian for the decisions, then an inquisitor to increase conversion rate if you can find one, keep positive stability and you can do it reasonably quickly - east Africa is not exactly the highest base tax region in the world. Once you get your admin tech up to the 10ish range, there's a bunch more decisions to boost missionary strength, one of the Ethiopean ideas has +1% too, and if you have real problems, grab Religious ideas.