Chess and Civilization are very, very different games in terms of complexity. Chess has all information out in the open the whole time, has very strict and limited rules as to how you can move pieces and engage with the enemy, and has almost complete coverage of all possible movements (for the opening phase at least, and then still very thorough coverage). It is basically perfect to train on. As Archanist said, even a game as 'simple' in terms of interactions as a MOBA leads to issues where new strategies break the AI, and Civ is much more complicated to get a good AI for - especially as you can't just rely on giving the AI near-superhuman reaction times to make up for decision making issues.
While it is possible to develop a self-supervised algorithm, it's incredibly difficult to do so in a way that doesn't lead to tremendous issues in something like Civ. You'd really, really want a baseline set of data to train off of that is drawn from real games. For a very simple example, if the AI is developed entirely by playing against itself, you can have a situation where the first AI to have good success does so starting with a pair of scouts - even if it's just random chance causing the victory and not the scouts, like spawns/goody huts/etc. The AI then builds from there, and all AI vs AI matches start with a couple of scouts on either end. This can easily get to a point where you have a functional AI, so long as those assumptions (that everyone starts with a few scouts) holds true. Then the players get the game, start with 2 warriors, and conquer the AI without any resistance, because the AI was never trained on this strategy. The best way to avoid this is to train the AI separately many times, and then have each of those compete with each other at different points, but then it starts getting far more computationally expensive - and if the AI needs to be retrained because of a balancing issue (which should be done in any meaningful patch), those costs continue to spiral. Don't use ML algorithms to develop the AI for a game like Civ.