No, it is not gained by the UK when taken after enemy conquest. Consider the MSP at that point as going towards the rebuilding of that nation's economy.
In the case of the Netherlands, yes the UK could also DoW, but then all the negative effects of that action will take place (Diplomacy shifts..)
I have a question about retaking MSP locations in minor countries. Is there any way to get that production back? Lets say that the Netherlands surrenders to Germany, and UK manages to retake it a couple of years later. I think that according to the rules, Germany will lose the production, but UK will not get it back. But can UK theoretically declare war on the Netherlands (or the entire BeNeLux for that matter), occupy all MSP-locations and get the production back?