I don't think the Steam version of u-boat missions works with the CD version of SH4, however I know for a fact that if you just buy the u-boat mission expansion from Amazon, that will work with the CD version of SH4. I don't know how much just buying the u-boat expansion from Amazon would be in the UK, but I know here in the US it was the same price as steam offered.
Source: That's what I use.
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