Does that apply for all mods?

It probably has something to do with the fact that the mods were made with the CD version of the game and modified that exe.

It is quite possible that in order to get them to work with the downloadable version, the mods themselves would need to be reconstructed using the downloadable exe as the basis. I have no idea how many of the dev tools you can get from here (the dev editor etc) are restricted in that sense or if they will work just fine with the downloadable executable.

mods without modified exe file could work.
Warlock´s mod had a different exe file, which above all made heroes weaker, so most mods are based on his mod and therefore an altered exe file.
But a mod does not necessarily need to have a new exe file.

How did you install the mod?

I only have the GOG digital version at hand, not the Impulse one. However I strongly suspect that they are the same, since I doubt Triumph would modify the game differently for some reason. Most likely they just removed the CD check and maybe did some minor compat tweaks, and handed it over to both...

Now, Warlock mod at least modifies only 3 game binaries - AoW.exe, AoWEd.exe and AoWEPACK.dpl. I ran all those through binary diff between plain old AoW and the digital version to see what changed. So far as I can see, the changes in the files should not conflict with the way Warlock patches them.

I manually patched the GOG binaries according to Warlock patch files, and the game still works without asking for CD etc.