Welcome to my very first guide in Steam.
I am a fan of Majesty for the last 6 years and know I bought the Majest 2: Collection in Steam. The first thing I had to do is to find a solution online. The game just won't launch.
I've collected the most common solutions to deal with the problem.

• Go to your game folder folder (for example D:\Games\Steam\steamapps\common\Majesty 2 Collection);
  
• Find Majesty2.exe;
  
• Right click "Run as administrator";

The game launcher should start and give you an option to choose the game.
IMPORTANT: by doing so your playtime won't be recorded by Steam.

• Go to your game folder (for example: D:\Games\Steam\steamapps\common\Majesty 2 Collection);
  
• Find DLC folders localization.expansion_1/localization.expansion_2/localization.expansion_3;
  
• Choose 1 DLC to play (In folder order - Kingmaker, Battles of Ardania, Monster Kingdom);
  
• After choosing an expansion RENAME other DLC folders by adding anything to their name's (for example localization.expansion_2_off or localization.expansion_2_disabled or localization.expansion_2_x);
  
• Launch the game normally. You should see blank space in game launcher. That's the current active DLC.

IMPORTANT: I don't exactly know if this solution works, because Solution #1 worked for me. Nevertheless, this was posted on Paradox forums and its a top google search ¯\_(ツ)_/¯

By far I was able to play the game without any problems.
For now this guide is created to solve launch crashes only, but if someone would like to share their problem during the game (crashes, game breaking bugs, etc) you can share them in comments and, preferably, with solution. I don't mind upgrading this guide into general problem solver :)