HOI3 is fine without mods if you are looking for complexity, as it's easily more complex than any other game in the series. Mind you, it's not great, because it is clunky and very prone to crashing and corrupting your saves. I wouldn't call any Paradox game "Dwarf Fortress complexity", but HoI3 comes the closest.
HoI 4 is wide as a shot glass and as shallow as a puddle, even with the DLCs, so I don't really think it's what the OP is looking for. It is also missing a fair amount of features from prior titles, which reduces the complexity further.
On the topic of the grand strategy genre, Revolution Under Siege Gold is easily one of the most complex I've played. It tracks ammo and the distance your soldiers fire at, for example. I'm not going to list all of the features because there are tons upon tons. The only real problem is it's an AGEOD game and the engine very obviously cannot handle something of its size, so it's laggy and crashy from time to time.
You may also be interested in other AGEOD games. I have heard people complain that Victoria 2 is too shallow and not realistic enough, and all of them have praised Pride of Nations. I haven't played it for more than half an hour, but it seemed to be extremely complex, and didn't seem to be falling apart as bad as most other AGEOD games.