Alright, let's figure this out...
Do you have any other mods installed?
Here's an example from my friend - he installed the MCCS and NHF mods, and then added an older mod on top of them to change the dungeon's appearance. As a result, only the exterior and interior of the castle changed, because MCCS/NHF modify the creatures/heroes of the dungeon, but they don't change the town itself.
Added after 23 minutes
Only Azyl installed correctly for me; everything is fine there. But with all the other mods, only the appearance changes, and that's it. Right now, I'm playing two games: Heroes 5 with the Armageddon's Blade mod - there are no other mods in it. If we consider the logic, why does Azyl install correctly, while the others only change the appearance? And in the other game, it's Heroes 5 with mod 5.5; there are other mods in it, but they also only change the appearance.