http://www.copyright.gov/title17/92chap12.html#12-21201. Circumvention of copyright protection systems
(a) Violations Regarding Circumvention of Technological Measures. — (1)(A) No person shall circumvent a technological measure that effectively controls access to a work protected under this title. The prohibition contained in the preceding sentence shall take effect at the end of the 2-year period beginning on the date of the enactment of this chapter.
This section was added to US copyright law in 1998.
I wonder how "controls access to a work" would be interpreted in this case, where you have access to the work, but not to components of it which are disabled unless you buy additional stuff - unless, of course, each side in the game is interpreted as a separate work.
Adding "a couple of 0-kb game exes, [and] a couple of registry keys" is trivial and doesn't involve downloading or copying any copyrighted content at all - the only provision it could violate, I assume (unless there are more gotchas that don't involve copyright at all, like that one), would be that one. Since IANAL there may be more. (Also, the DMCA has provisions for allowing circumventing protection schemes yourself but not distributing it, in order to get a thing to work when it is not working, e.g. as with running stuff where the DRM is keeping it from running because the online protection server no longer exists, etc).
(I'm mostly just curious. I've never played any of the Dawn of War games, never bought or pirated them. I didn't like the have-to-pay-for-each-side model, it was an RTS, and I'm not a big WH40K fan, and I don't really pirate games or movies or anything.)