Do you have the same content installed on both platforms, ie. If you have AoM installed on one, is it also installed on the other?
Found the issue. I had to install the game from scratch. Now it’s working. Thank you guys for your time. 
What, you hadn’t installed it on Steam? Oh my. Yes, you definitely need to do that. Glad it’s working properly now. Enjoy. 
Of course I had it, but I used the GoG files to avoid redownloading. Something must have bugged out. Who knows, it’s working fine now.