I eventually enjoyed the later releases (HOI2 and especially HOI3 after the essential patches and then the expansions), but found this one frustrating and unintuitive at the time. I did not play this one with the expansions, so the experience may have improved.
With the game starting in 1936, why should any of the major powers that fought in WWI need to re-research WWI technologies before advancing to 1920s and then 1930s tech? It's not like they all forgot how to build WWI tanks, planes, and artillery, or stopped development in the interwar period.
The game's lack of a suitable tutorial scenario or practical hints does not inform you about small critical details, like mobilizing your army before engaging in war. The result was that after several in-game years and many real-time hours of sub-optimal play leading up to the outbreak of war, my divisions were simply overrun in minutes. Game over, try again with a better idea of what to do and not to do. The learning curve is needlessly brutal.
It's not that it's a bad game, but the next two releases in the series were significantly more interesting to me (I put way over 1000 hours into HOI3 after they patched and massively overhauled the ridiculously broken initial release, where nothing even remotely resembling WWII was likely to occur). On the other hand, HOI4 became far more cartoony, where small countries with tiny populations could field massive armies, large forces could cross huge deserts and fight effectively beyond them without supply issues (HOI3 had the most realistic logistics system, despite its quirks), and other extremely gamey oddities. This initial effort by Paradox isn't bad, but still sub-par.