Breja: I'm not sure if this applies, since I don't really play 4x games and prefer a bit more streamlined strategies. Anyway - I tend to roleplay everything. Almost any game I play, if there's anything to "latch onto" so to speak, I'll try to roleplay at least a bit. So when playing something like the Total War games for example, I don't just try to win. I have a whole story developing in my head based on how things are going, the traits of kings and generals etc. and sometimes I'll radically change my strategy and the way I run things when the king dies and is replaced by a new one. New king - new policy. So for a time I'll play aggressively, sacking every town, squeezing every dime with taxes etc. Then the next king may be far less cruel, lower taxes, spare conquered population. One will focus on military infrastacture, the next on farming and trade.
Man, I like this. I guess I play a bit like this. Some strategy games are so much better (IMHO) if you RP a bit (or a lot, like you mention!). Make your own rules and stick to them... As in, this is the way your nation/faction will behave... Super fun, and possibly it has little to do with the "win no matter how" approach encouraged by MP. Then again, if you can win in MP in your own terms, that sounds like fun, although I do not really MP these days, and I am not sure that most people MPing care much about RP in strategy games (MPers, correct me if I am wrong).
Your comment made me thing about epic wars in Civilization IV, where a nation with a smaller army had to defend in a tiresome war from an aggressive neighbour, until eventually the moment to strike back arrived. Felt a bit like 1944, if you know what I mean (only with pikes).
Way to go, Breja. RP + strategy = fun (for others, YMMV, I guess, but give it a try...).