I fear the Chronicles were never part of the whole thing.
They were never re-released, weren't they ?
Here is another re-release. Don`t know about content but my guess would be "discs only" as it seems like a budget release. But it is cheap for whole collection minus chronicles.
http://www.startupmedia.co.uk/p-495058-heroes-of-might-and-magic-collection-5-games-7-exp-pc.aspx