Most new players don't know that, you will not get all features of the Complete Collection without opening or running the latest
DLC/Expansion Pack (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.