It's interesting - they're very different. The historical setting and investment into events to try and keep things on a historical path add a lot to the game IMO by allowing a mostly balanced but asymmetrical game - France can usually ROFLstomp everyone but an overly aggressive France can easily be ROFLstomped themselves. That said, I think EU4 still falls on its face in the late game with mechanics like Absolutism absolutely pulling the breaks off the train and making Ulm WCs possible - in fact EU4 is sorta confusing for that reason, there are essentially two (maybe three if you want to count the reformation+counter reformation) games there and a portion of that playthrough may be more or less appealing to individual players. Stellaris definitely has some distinct phases but without trying to railroad players the mechanics flow from one phase to the next in a much smoother manner.