And speaking of our good old friend Kor, at one point in his career, Kor was the Klingon ambassador to Vulcan. Not a Consul-General running a consulate, but a full ambassador. That means the Klingons had a embassy on Vulcan, therefor the Vulcan government had a separate sovereignty from the Federation government.
Eh, I view that as a leftover from the pre-Federation days. Functionally, it pretty much is a Consulate, it just keeps it's old name. It's not impossible the EU states will some day reach full federation and yet still have representatives called ambassadors sent to them (or between them), as a matter of tradition.