Most new players don't know that, you will not get all features of the Complete Collection without opening or running the latest DLC (The Asian Dynasties). The default shortcut from Steam only opens the 1st game which lacks tons of content...
To Fix this:
Go to your Steam installation folder, C:\Program Files (x86)\Steam.
Then, go to SteamApps\common\Age Of Empires 3\bin or Copy/paste which shortcut you want into search PC and your PC will find it for you.
There are three .exe files in there for startup of app:
- age3.exe is the standard game.
- age3x.exe is War Chiefs.
- age3y.exe is Asian Dynasties (Newest).
Right-click on any of these, select Send to Desktop (create shortcut) from the menu.