Compare with Civilization. It doesn't have many age-specific mechanics: combat, industry, farming, worker improvements, all work pretty much the same regardless of the age. The numbers change, the units change, some things get unlocked, but overall things play the same throughout the whole game. And that's cool.
But it's different than what Paradox's Grand Strategy games are doing, see? They're taking smaller slices of history and making a game based on the interesting points of that era. Crusader Kings 2 is about feudalism, EU4 is about the rise of imperialism, Victoria is about industrialization and so on. They're less generic but more detailed than Civilization. Combining their mechanics into a single, long game would be a complex mess of undue complexity, and unfortunately a perfect save converter between episodes is unlikely to ever happen. But they're cool games that have interesting game-mechanical representations of their respective eras. And that's cool too.
side note: Civilization does have an era-specific excursion too, namely the spin-off Sid Meier's Colonization! (and its 2008 remake) which features mechanics such as buying/selling/producing/consuming resources, trading with or raiding natives, scouting the wilderness for Lost Cities of Gold, educating your colonists for various tasks such as fishing, carpentry or combat, recruiting historical figures for Continental Congress and a big ending war for when your colonies declare independence. It's a neat game because it has many era-appropriate mechanics while dropping some less-crucial stuff like technology and government forms. So you get a game that's less generic than Civ, but far better at representing its own period in history. And that's cool also, too.
(I think Paradox should make a game focused on the conquest of Americas, imagine how cool that'd be!)