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I already bought the individual history editions of all 4 games. Do they include the dlc? What’s different from the Collection? Is the collection just a bundle of all 4 or is there any other difference? Thank you

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You don't miss out on anything for the History Editions themselves.

There is just one minor difference if you also own Anno 1800: An additional company logo and an additional ornament for Anno 1800 if you bought the Collection instead of the individual games.