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Only the host need to have the dlc's, the others get access to those features through the host
I would focus on getting art of war and common sense atleast, rest not so much. Some depends on which nations you choose
The multiplayer has had a lot of work done on it . The devs play there 20+ players dev clashes regularly , so its very robust and not just some half working tacked on multiplayer like some games.
In multiplayer the "host" picks the speed. And if they pick too high speed, other players may start to lag and force pauses. If the host picks low speed, other players may start to whine and complain and get bored.
i like CK2 , its a great game , but its an awful multiplayer game . That is a game were multiplayer is just tacked on.
I would go for EU4
HOI4 has a short campaign. Which usually lasts 'only' like 6 hours. If even that, most games dont even get to 1940. The problem with HOI4 is finding a good multiplayer group and you have to be online for a long time usually to finish it till the end. Especially the first 2 years in game are boring because really nothing happens. With larger countries like UK, France, Japan, SU and Germany you will have to micro a lot (because the AI is stupid). So I personally don't like it as much to play larger natons there.
EU4 is a longer campaign, but broken up into more sessions usually. There is a lot more choice in countries and playstyles than HOI4. The big drawback is the amount of DLCs. The AI is also more competent there. A lot of people complain about it, but it is usually quite good at trying to survive and pose a threat.
CK2 has to be your thing really. The goal is not so much conquering land, but having a lot of prestige/piety/family. You also cannot grow beyond a certain size because of vassal and demesne limit. So this is not for everyone.
EU4 is I think also the most stable of the multiplayers. With a good connection you can easily host 20-30 people. CKII I dont know, but HOI4 has quite a number of desyncs and problems with hotjoining still.
So in short:
EU4: Long games, lot's of countries and types (hordes, natives, colonizers, etc), but a lot of DLC to get the full experience. As far as I know the best multiplayer out of these 3.
HOI4: Short games, not that many countries (especially since most hosts ban half of the nations), less stable multiplayer, the early years are boring. However, it is in a way more challenging, because the build up before the war also decides a lot who will win. There is also a lot of imbalance still with national focuses and certain units being kinda useless and others overpowered.
CKII: It's more of an RPG than a strategy game, so it might just not be your thing. The games can last very long. I think about 700 years? The stability of the multiplayer I dont know. To get the full experience you will also need a lot of dlc.
You could also check out other multiplayer games like Endless Space or Master of Orion.