macAilpin: They become independent again. But you have been fighting their protector. I don't think you will win them through diplomacy.
Edit
I'm editing this because it has been a while I've played a complete game. If I'm ahead by the end of the Wooden Vessels I feel I have won. And I can't remember what happens to the enemies armies in the Colonies. So I am no longer sure what happens. I still think they become independent, but I don't remember fighting the Major Nation's Anarchy troops in any of the Colonies--- only the territory they had conquered.
Thank you for your answer.
Yes indeed the small country loses its colony status and the next turn, its territories change color according to the former owner (in my case purple for the Patagon).
As a result, as its same territories sank into anarchy, my plan failed and all the other great powers began to grab them avidly.
For your question about the armies of great power in a colony, it is difficult to give you a precise answer, I will tell you what happened to me during my tests.
One GP had placed a good number of artillery in in the Capital of his colony, but when I declared war on it the next turn it had fully moved its troops back to its home capital (Patagon City).
So I have the impression that he takes his troops out of the colony every time his home country is threatened, after which I haven't done any further testing.