I'll second Russia on that one. The Tsar's subjects on the Don weren't treated substantially different than were those in most of the empire. There was paternalism, certainly, but little else of colonialism's excesses. Not that it was so great to be a Russian, but if you have to choose between living on the Caspian or on the Niger.... It's really no contest.
This situation got even more favorable under Lenin, then reversed violently under Stalin. It was Josef who brought the staples of colonial atrocity to Russia's sphere. Even then, some of it - like forced collectivization and slave labor - was equally applied to the Russians themselves. Still, while Russians died as much on the Don as Ukrainians did on the Dnieper, neither group was especially targeted for mass deportation to a glorious new homeland without any food.
Interesting how things change:
The nearest things to surviving colonies in the modern world are probably places like Chechnia. Wouldn't particularly say that Russia is the nicest master in the world, not anymore.