I wish I had known this sooner. In my case, I bought EU: Complete off Steam a month ago, and recently decided to get the other two expansions, also from Steam. Heir to the Throne ran fine, but then I bought Divine Wind, and every time I start a game, I crash to desktop within the first month or two of game time. I don't know if it's because of the improved graphics (which, for that matter, should be optional), or some other incompatibility; all that I know is that it's the same crash to desktop every time, even on the lowest settings.
According to this thread, the bottom line is that I can't even play the game anymore, in any version, because I made the mistake of buying all the expansions. That's... annoying, to say the least.