The reason this happens is when you install the steam version of the game it is already registered. There is a bug where if you register it again, the game will "unregister".
To fix this run Regedit
Go to start and in search or if you have XP click Run - Type Regedit
When regedit opens, navigate to the following folder:
HKEY_CURRENT_MACHINE\SOFTWARE\Longbow Digital Arts\Hegemony Philip of Macedon
(If you don't see that folder, you can right-click on the parent folder and choose New->Key to create it.)
You will see on the right side of the window Serial click that and hit delete on your keyboard. (This makes the game forget you even registered it in the first place)
Now click Edit - New - String Call it Serial and type in your CD-key given by steam and that will fix your problem.
Please read other forum posts..I posted this as an answer to a post right under this one..