Tested CEAW 1.06 and Grand Strategy 2.0 expansion, after loading a saved game and creating a new game, both seem to work fine. Only used windowed mode using high quality graphics. I did not test PBEM.
OS X does asked me if I want to load javascript on first start up of CEAW, after answering "yes" it takes care of download, install and game started right up.
I added to list of apps working (or not) with Lion here: http://roaringapps.com/app:4050
