Is this because a capitulated vassal won't have all of your techs automatically, or is there another way (besides embargos) of avoiding such a vassal trading away "your" techs?
Yeah, of the three kinds of vassals (voluntary, capitulated, colony) only colonies get all your techs when they report for duty.
If it's early in the game, they won't get much, so the harm is minimal. And if you're well behind in tech it doesn't matter at all. But if you have any kind of tech advantage, there's always a risk they'll trade it to your biggest rival. It doesn't happen every time, but it's frustrating as hell when it does.
To my mind, generally the only times it's worth creating a colony are early or late. Early if there are islands you wish to control, but don't want to settle yourself (usually because there's better land available - hence B&S and M&S are the most likely maps for this). Late if you've got (or will soon have) enough population to win a victory election, but need someone else to vote for you.
But, in these cases, the colonies are more about solidifying a strong start or finishing off a game that's already going your way, rather than overcoming a tough situation. After all, if you can afford to give cities away to a colony, you must be in a pretty damned good position already.
I'd guess there are some very specific circumstances where a colony could help you dig your way out of trouble (eg. if you've overexpanded onto a load of crappy islands and your economy is crashing). But I've never had that happen to me.