Since the Steam version is the recommend version, I'll post a method that a user came up with, that might work to move saves to the Steam version. It worked for this player at least. If you do this, you also won't need to download the entire game again.
It is not very complicated, and it also won't ruin your first install since you just copy it, so give it a try!
1) Enter the Steam key in Steam and start downloading
2) cancel the download
3) Navigate to the common folder under the steamapps folder
(c:\program files\steam\steamapps is the standard)
4) You will see the king arthur install, it is named different than
the other collectors edition
5) Delete the contents of the king arthur directory (keep the directory)
6) Copy the contents of your king arhur collectors edition install
directory to this one under steam
7) In steam, perform a verify game cache files task on the game:
https://support.steampowered.com/kb_article.php?ref=2037-QEUH-3335
That will now setup the game for steam and download any missing files.
I don't think he has an account here, so I can't give proper credit, but you know who you are, and if you read this, thanks for sharing!
It is not very complicated, and it also won't ruin your first install since you just copy it, so give it a try!
1) Enter the Steam key in Steam and start downloading
2) cancel the download
3) Navigate to the common folder under the steamapps folder
(c:\program files\steam\steamapps is the standard)
4) You will see the king arthur install, it is named different than
the other collectors edition
5) Delete the contents of the king arthur directory (keep the directory)
6) Copy the contents of your king arhur collectors edition install
directory to this one under steam
7) In steam, perform a verify game cache files task on the game:
https://support.steampowered.com/kb_article.php?ref=2037-QEUH-3335
That will now setup the game for steam and download any missing files.
I don't think he has an account here, so I can't give proper credit, but you know who you are, and if you read this, thanks for sharing!