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Playing scenarios isn't very interesting. They are too short and don't have the same narrative depth as campaigns, where you develop a hero from mission to mission. As for Dark Messiah, the claim that it is the conclusion of the Heroes series sounds far-fetched. The games have different structures; after all, Heroes is more of a strategy game, while Messiah is a pure action game. You could call any game with demons a continuation or prelude to Heroes, but that's not the case.