HOI3 is about 100x as complex and micro management intensive as CK2. I've been playing paradox games for over a decade and HOI3 can still feel a bit overwhelming.
Maybe it's just the greater thematic affinity I have for Hearts of Iron, but I didn't have all that much trouble learning both HoI2 and 3, 3 especially was very easy to get into due to the fact that you can start out leaving lots to the AI and slowly learn from there. CK2 is quite the opposite for me.
Oh, and as far as Their Finest Hour being worth it, I would say for me yes, it's really gotten me back into the game. I don't think it's a revolutionary add-on, which almost no add-ons for Paradox games are, but they've added and changed some stuff that I really like. New intelligence system works well and makes more sense to me than the old one, planning system should be a nice addition for multiplayer (and the historical plans
look so cool ), new lend-lease system is so much better, custom game mode is great fun (although I'd have liked it more if it didn't just let you edit your own nation, but let you edit everyone to get a really ahistorical thing going), and lastly, it's a lot of subtle interface changes that I love. Things like being able to click the name of a commander in the ledger, and then instantly selecting his division, so you can easily find Zhukov or Konev and promote/re-assign him if you choose.
I do think it could do with a patch fixing one or two things, mainly partisans, but on the whole, I'm having lots of fun with it. As for whether it's worth it for anyone else, depends what problems you felt the game had before I guess.