Taking the settlement also gives both economy and mysticism (which'll go into something else, I don't know the wheel of by heart), and unlocks further expansion slots on it's own. While the administrative capacity is an issue, it's one that is going to be helped via new trails, and the palace. It should also to an extent reduce some administration issues given territorial continuity with our large vassal, should make things easier to organize and direct things, and should provide increased defense of the trails instead of having no settlement there.
The smack dab in the raid path of the Thunder Speakers is irrelevant though, given the logistical trails already there are incredibly important for the movement of both soldiers and goods, so if we are attacked they are going to be raided regardless. We'll likely have the luxuries our core provinces produce flowing into our vassal, and whatever our vassal produces going back towards the core provinces, soldiers going both ways as you need to protect those goods, and people moving between the places in general.
A settlement there makes all those things easier as you enable those travelling to find supply on the way, and they also act as a base from which to station our units to defend from the Thunder Horse. There's also a further benefit that you yourself mentioned; Red Hills is a source of our iron, is vulnerable to the Thunder Speakers raiding them, and we already know if Rulwyna is to be believed they have intention to attack there. By the very name of the provinces - Far Eastern Red Hills - it should indicate that they would help provide a buffer for our more valuable Red Hills province, and as previously mentioned, enable us to station troops long term there given they actually can be supplied. That also means we can make greater use of both our horsemen and blackbirds, giving us advanced information on when they're going to attack.
On the final point of stressing our admin; I would argue it both stresses it and eases it at the same time. While founding a new province would mean increased work, the province is also going to be in a location that is both highly valuable and highly vulnerable, and if there is no province there would of itself need considerably amounts of work and effort to protect it to maintain the links with the vassal and protect from the Thunder Speakers, which is presumably going to fall under the King's authority. Founding a new province there means that we can exploit our excellent Heirarchy stat to delegate many of the responsibilities that likely would have went to the King, onto the new Province Chief instead thus reducing the amount of work the King needs to do. The King can focus on the macro scale, while letting our hierarchy do it's work and the provinces focus on the micro which is arguably the more intensive work given the tedious and often delicate nature of it, along with the fact the information would of had to travel to the capital and back.
Thus for me the increased difficulty of administrating a new province is itself going to be mitigated by that new province, because the area is already a high interest area and requires administrating already.
