I think I'd like Darkest Hour but I wonder if I will like the combat, the pictures of the maps I have seen make it looks like combats might be more like Risk and less like Civilization. How tactical can I be? My preference would be something like Steel Panther or Panzer General but that it unlikely in a 4X games, my fear is that you build an army and set it against another one and the computer computes everything without the playing having any tactical input, a bit like setting battle to automatic in MOO2.

Well, you can control single armies. It's not a tactical game, but operational.
So you can't influence the combat of a single army if not by planning and taking countermeasures. For example during a battle you can see how it's going and may decide to change the mission of part of your airforce to attack the enemy, trying to tip the combat in your favour. Or you can move additional army to flank attack the enemy while you're busy, thus helping the initial battle.
The composition of the army is also important obviously. Choosing the correct balance of unit and brigades is important.

I am afraid I have not been able to properly answer your question. My best suggestion then is to take a look at youtube where you can find some Let's Play videos or read some AARs in the Paradox forum to get a better understanding of this great game. :)

EDIT: Feel also free to ask more question, I'll try to answer if possible.