well I have no clue about AMD GPU's and what is going on with Linux but I think you should be using amdgpu pro drivers.
or I am wrong :o?

Make sure to check the various logs for each game in ~/.local/share/Paradox Interactive/ as they might give you a clue as to what's wrong. Maybe the output if you try running the games from the terminal might also be helpful. I should be getting my hands on an RX480 within the next week so I'll be able to try for myself but this is the first time I've heard of this sort of thing happening for these games. Clausewitz engine games tend to play nice with Mesa. If all else fails, try the official paradox forums for support.

Oh my, I have finally found out. Apparently I was running Wayland without even realizing. Maybe the latest gnome 3 update changed the default? I guess it means it is mature enough for the desktop. Finally reverting to X.org, things went back to normal and everything works again. That being said it is certainly not normal that it crashes through XWayland.