I had the same problem you have, where the game would crash during loading. Hearts of Iron III would do the same. Here is what I found.
If your hard drive is partitioned, or it might happen if you have multiple drives, with Steam, you have to have a good ammount of space on the Core Steam Library's drive - where the steam program is installed. I had a very limited ammount of space on that partition of my drive, and even with a fresh install to a brand spanking new partition of the drive, it would crash like that. Soon as I cleared off about ten gigs maybe a little more, it seemed to run just fine. I can only guess that part of this is owing to the way the game engine caches information or something to that effect. So make sure there is a substantial level of space in your library sections for Steam, that might fix your problem.