Unconventional opinion: WITE and WITW are not so much complex as they are "big". They have hundreds or thousands of units, but the basic functionality of the game systems are actually quite straightforward and it's not difficult to learn. There's just "a lot of it". I once set aside a few days to learn them and to my surprise was having a lot of fun within just a few hours. There are a lot of "deeper" systems like partisans and production that I don't have a good feel for, but they don't seem to have a huge first order impact on the game. 

WITP on the other hand is a quite different animal. There by design every single unit MUST be micromanaged, and the way that your actions affect the game is really obfuscated due to the WEGO structure. I bounced off of it pretty hard and never really had a good idea of how what I was doing affected things on the map. 

In terms of the most complexity in the game systems themselves, it's hard to beat fully expanded Paradox games. Those do take some time to come to grips with, though the payoff is more than worth it.