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I have the impression that playing the Allies in the 39 campaign is a bit passive during the early game ... not really anything to do but watch Germany attacking. Well, like in real
No ?

The allies can get aggressive with their navy, and in North Africa. If you would like to see it in action, I suggest playing Ktonos, he is the most aggressive Allied player I have seen personally.

playing the Allies in the 39 campaign is a bit passive during the early game

Passive does not mean idle. An "aggressive" defence is the foundation for the longer term, when the tide turns.