The SF, FTM, and TFH expansions were bundled together, if I recall. While GOG distributes HOI3 and its bundled expansions, I don't think those expansions will work with a Steam base game. The reverse definitely will NOT work, since Steam will not recognize the base game from any other source in order to load their version of the expansions. I've successfully mixed a CD install of the base game with expansions from GamersGate (no longer a source for Paradox games), Amazon, and GOG with no problems, but none of those are compatible with Steam.
Since Windows 10 does not recognize on-disc DRM, I was unable to install HOI3 from the CD when I built my last system (that computer was recently stolen), and had to repurchase the base game as a GOG download. I had some perplexing issues with leftover bits on the registry from the failed installation attempt from the CD, until I used a program to remove them (not recommended for casual users). I'm now running HOI3 on my previous much older computer (with Windows 7) until I can afford to build a new one.
Thanks to an issue with Steam a couple of decades ago, I resolved never to deal with them again, so I've been using GOG as my primary source for Paradox games.