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Albert I said:
me too, or when you pay gor windows game, has a linux version in another CD or all in DVD
The problem would not be that much the extra CD, but porting the application to run natively on Linux (and the extra development costs to do that). That could vary from very easy to impossible. Most games just interact too much with Windows APIs to be ported easily to other OS.
 
I know the chances that any of the Paradox games will be made for linux are slim, but I just want to add my support for this idea (initiative).