I think you two have just highlighted another reason why I typically favor space and fantasy settings over historical ones...
In space 4x games, it's all "future" technology anyway, so it's not nearly so obvious when you've way outpaced everyone else. Fantasy is (ironically) similar, in that all technology is generally "medieval", and so again you don't feel like you're radically outpacing your rivals (even if in reality, you are). In other words, it's an extra bit of immersion that historical 4x games inherently lack.
(I'm not saying that there isn't still a certain sadistic joy in throwing tanks against hoplites, of course...
)