Finished the game. 1934 Conquests victory, with Always War. Made it to Amphibious Warfare tech-wise, though Cavalry did most of the conquering of the second continent, with help from Infantry early on.
It was a fun game. The AI didn't cope as well with Always War as it does in Conquests - I noticed Rome's cities shrinking around 1900, and a spy showed that they had 0% lux slider but half of the citizens were entertainers, resulting in virtually no production - but it still posed a challenge early on, and a logistical challenge in invading the second continent. Definitely could have won earlier without Always War, but it was more fun with it.
In the game replay, perhaps the most noteworthy event was that in the defense of Thermopylae, Greece spawned a great leader. This was not Leonidas, but Pyrrhus. Pyrrhus's victory would be pyrrhic, however, as that same turn the city was conquered.
A similar fate befell England with Edward. The AI never did get to build an army, a slight disappointment since they can use them more effectively in PTW than in Conquests.