We present a multiwavelength study of a sample of far-infrared (FIR) sources detected on the Herschel broad--band maps of the nearby galaxy M33. We perform source photometry on the FIR maps as well as mid-infrared (MIR), H$alpha$, far-ultraviolet and integrated HI and CO line emission maps. By fitting MIR/FIR dust emission spectra, the source dust masses, temperatures and luminosities are inferred. The sources are classified based on their H$alpha$ morphology (substructured versus not-substructured) and on whether they have a significant CO detection ($S/N>$3$sigma$). We find that the sources have dust masses in the range 10$^2$-10$^4$~M$_odot$ and that they present significant differences in their inferred dust/star formation/gas parameters depending on their H$alpha$ morphology and CO detection classification. The results suggests differences in the evolutionary states or in the number of embedded HII regions between the subsamples. The source background--subtracted dust emission seems to be predominantly powered by local star formation, as indicated by a strong correlation between the dust luminosity and the dust-corrected H$alpha$ luminosity and the fact that the extrapolated young stellar luminosity is high enough to account for the observed dust emission. Finally, we do not find a strong correlation between the dust-corrected H$alpha$ luminosity and the dust mass of the sources, consistent with previous results on the breakdown of simple scaling relations at sub-kpc scales. However, the scatter in the relation is significantly reduced by correcting the H$alpha$ luminosity for the age of the young stellar populations in the star--forming regions.
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