Good read Taifun, as always.
Your Allied play is very "Axish" - you really like to engage into combat ASAP. Personally I find it quite puzzling at times. Especially this attack on Italy, I don't really see noticeable advantages. Even if you lost IEA somehow, those ITA units would be far from theatre of war to the end of the game, and NA defences would be weak. Though I understand desire to 'punish' such an offensive play.
Taking tech disadvantage into account, Allies rarely are able to achieve something meaningful in 1940. Your China is a good example, even with promising counterattack it fell apart quickly. On the other hand, your opponent quite overinvested there, I am curious to see his JP tech.
Germany is another matter. After quicker fall of France, they were in a really excellent shape. Maybe this encouraged Axis to go for Egypt, but as it usually is, it came to be a trap (at times it seemed a very risky trap). Ofc loss of Cairo hurts, but again, Axis overinvested there. With so many forces (tanks, planes!) there, and some units tied to Yugo, early Barbarossa was out of question. What is more, USSR and US mobilization was enhanced by Axis gains in NA, giving Soviets much needed MPP's. Not a bad trade, especially that you were able to setup a defense in Iraq.
Speaking of Iraq, even without your counterattack you probably were winning at strategic level (due to Soviet strong position) and with this disaster near Bhaghdad it's gg probably, though I would love to see your opponent continue.
P.S. 08.1941 and no USSR invasion? Stalin must be close to joining on his own now.