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Playing as Germany I've researched Fighter 40 and 42 - but it would appear that to begin researching CAGs I need to go back and research Fighter 38 as well. Is this correct - or is it a glitch - as it seems unrealistic??
That is an optional prereq, So you should be able to research the 1939 Converted CAG with either the 1939 Interceptor OR the 1938 Fighter. To get the 1940 Fighter you needed the 1938 Fighter OR the 1939 Interceptor. So this looks fine to me.