Got a reply from steam support re. my question about the CD key; they said to email
support@paradoxplaza.com. Will do this but if everyone at Paradox is away for a well deserved Xmas break not expecting a reply anytime soon.
With regards to the discussion above about Steam I would have to say most of the problems arise out of a lack of communication between Steam and third party publishers. This seems to be a case in point - Paradox should have spotted that the lack of a cd key would cause a problem but so should the folks at steam. Any way I am confident that things will be sorted out even if it means a wait till the new year.
Will report back if I get a replay from Paradox support.
BTW - Really enjoying the game.