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Yeah I had the same problem, I ended up solving it myself;

Go to Gamersgate then;
- Login
- Go to your library
- Check your Crusader Kings 2 entry in the library, you should have a message saying that there's an unused cd-key
- Copy the cd-key
- Launch Steam
- In the bottom left part of the screen there is a "+ Add game" button, click it
- Click "Activate a Steam product" (or whatever it says in English, the 2nd option)
- Next
- Accept
- Paste the cd-key
- Next

That's it. BUT, be aware that you need to do this with everu single DLC you have bought on Gamersgate!


Edit; BTW, I would like to thank Paradox for this migration. It is the right thing to do if you are going to discontinue the GG version, but it is still extremely nice to see that it came directly from you guys!