I am a bit skeptical about how computationally expensive a very crappy Civ ANN would be to run at inference time, though I actually have no idea how that scales - it hardly needs to be a grandmaster, but the distribution of dumb mistakes has a long tail.
Also, the DeepMind Starcraft 2 AI is different from AlphaZero since Starcraft is not a perfect information game. The AI requires a database of human games to "get off the ground"; otherwise it would just get crushed over and over in the early game, having no idea what the opponent is doing. It's hard to get that training data with a brand new game. Likewise Civ has always been a bit more focused on artistic expression than other 4x strategy games; maybe having to retrain an AI for every new Wonder is just too much of a burden.
(At least good compared to what other 4X have, and your average human player - not the top players that are the ones that tend to discuss the game online in the first place.)
EDIT : I suspect that it's not unrelated that GalCiv2 is kind of... boring as 4X go - as a result of a good AI having been a base requirement ?
Speaking of StarCraft AI... (for SC1, not 2, and predating AlphaZero by many years) :
https://arstechnica.com/gaming/2011/01/skynet-meets-the-swar...
To be fair, they might tackle this in the paper -- this is a preprint of a preprint, somehow...
For Civilizations, the more recent they are, the more closed off they tend to be : Civ 1 and/or 2 have basically been remade from scratch as open source, Civ 4 has most of the game open sourced in the two tiers of C++ and Python... but AFAIK Civ 5 (and also 6 ?) were large regressions in modding capabilities compared to 4 ?