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I am aware that this is probably a deliberate decision and not a mere mistake, but I would still like to request that games purchased on EGS and GOG appear in the paradox library. I have eu4 and I feel bad when I don't see it in my pdx library
Only Steam provide a way of syncing game ownership to external accounts such as your Paradox account. Epic, GoG, MS/Gamepass, Origin etc provide no such facility; until they do this is not possible I'm afraid.