You know I was thinking about making this same thread because I had the exact same experience with the same game.
I bought shogun 2 when it released and had no issues installing it from the discs.
I recently purchased a gaming rig and naturally wanted to see how Shogun 2 runs on it and imagine my surprise when my only option was to download.
I googled for a solution and tried the valve recommended one which involved deleting all game data and typing in a command which is supposed to make the game install from the optical drive instead of downloading.
Sadly the results were the same and since I could feel myself getting increasingly frustrated I caved and downloaded it. Now given I am fortunate to have a great connection speed and large download limit but I would imagine this is a huge inconvenience for many users and I don't see why Valve doesn't provide an option within the steam client to simply choose wether or not we as paying customers want to install the game from disc or not. Especially when we have purchased a game at retail. Patches I have no issues with obviously.
Given my experience I will no longer be buying steam games at retail as it defeats the purpose of having a physical copy if I can't install from it.
