They use the same basic engine and share quite a few mechanics so they are definitely comparable, I'd argue that Crusader Kings is somewhat harder to learn and a bit more complex though, as it requires more micromanagement. But it is a really unique game that has tons of great ideas and elements never before seen in any strategy game (I love the whole dynasty system and family building for example), so that alone makes it a very worthwhile experience. And as you have noticed you can even convert your CKII saves and use them as your starting point for EU4, although I've never tried that.
Great purchase imho :). I bought that one too about half a year ago or so, started with CKII and then continued with EU4, but haven't tried Victoria II or Hearts of Iron III yet. You just get sooooo much content with that package!