Yea, It would be nice to be able to start before Wolrd War one and play till like 1954. Events for great depression would have some hinder countries somewhat. (IC drop, miltiary forced to disband or something)
For a human player there is mostly only one World War when playing ... if the scenario starts in 1905, the player can prepare for WW1 or can try to avoid it and later fight WW2 ... if WW1 takes place, the fighting will continue until one of the sides is defeated ... and then there is no need for WW2 ...
The scenario WW1, WW2 mostly influences the techs and units you can use ... so it would be a nice challenge ... but I don't think that it is possible to have a somehow historically stable world over such a long time when war is involved ... it is to easy to keep annexed nations and there is no easy way to get rid of them by releasing them without huge dissent ...
In Hoi2dd, world conquest is possible since simulation of nations and economies etc. is kept simple ... but in real history, complete world conquest never happened ... [and it probably will never happen] ...
Also ... who would like to play a historical WW1 when there is almost no benefit but only costs and depths which collapse your economy and reduce your possibilities to prepare for the later war with nice tanks and real bombers ...