You’re right. Partial retreats are not allowed. The only exception is in amphibious assaults, where air units and land units that arrived by land may retreat, leaving the amphibious units to fight on alone.
Ozteas 1941 is well reviewed. If you’re comfortable with some players being at peace at the start, that is also worth a look. Starts like round 3 of 1940.
Although if you prefer the simplicity of everyone fighting right away, go to g42!
