@Pepper it's your choice, but I'll give you my thoughts and you can make up your mind. 

Of course he'd be anti-European if they were forcing him to make do without one of the most important parts of his countries economy - the slave-trade. But if you can offer alternatives, I'm sure you'll find him to be very cooperative. A man like Barghash is concerned with developing his nation - pipelines, infrastructure etc. the fact that the Zanzibar has a horrible war record is evidence that they didn't work too much on their military. Thus if you open up trade with the Zanzibar, allowing for a replacement of the slave trade, he'll be content going about his reforms and building up the infrastructure of the Zanzibar, which is all good for you in the end as it means more income from there, and a more developed, militarily weak country if you every choose to take direct control.

You can choose between an incompetent leader (which this Khalifa clearly is) who likes you and will make a big mess, or a competent leader who can be encouraged to like you and will develop your protectorate for you.