Yes, I try not to exterminate - it makes the game harder by slowing your advance, as you have to use your armies to pacify a city rather than move straight on to the next battle. However, in a recent ERE PBM, I found it surprisingly easy to hold large occupied cities with governors with high influence. I guess this was partly because there was no culture penalty (I was invading WRE). But one good thing about not exterminating is that it makes you care about your governors a bit more.