If Italy remains neutral, Greece certainly never gets invaded by the Germans.
Bulgaria never declared war against the Red Army, and with Greece also neutral they never attack Greece either. They only invaded Yugoslavia in collusion with a German attack, which is not certain if Italy is not attacking Greece either. They might remain entirely neutral and escape the war entirely. Yugoslavia might not be attacked at all, or forced to join the Axis if Italy never declares war. At most maybe Romania still declares war on the Soviet Union because of Bessarabia, and Hungary may follow.
Libya has a small enough population that the Italians might outnumber the natives and retain it. What happens to Ethiopia or Albania really depends on how the postwar period plays out. Ethiopia likely ends up decolonized after a brushfire war by the 1970s at latest assuming the rest of Africa decolonizes. There's probably an attempt by the Libyans to do the same, but the relative population and lack of defensive terrain to hide means the revolt ends in failure. Albania probably remains Italian for a long time, but there may be a nationalist terrorist group, and if Italy ever liberalizes then Albania eventually leaves.