I have it, and I played it once as Germany up to about 1942. I had taken contiguous Europe, Britain was bombing my western provinces repeatedly and I didn't know what to do to defend against it. Not that it was doing any damage, though. I had nearly plowed over the entire land of Russia and there really wasn't any resistance left so it got incredibly boring.
I had 10 AA in every province and it wasn't doing anything to the RAF.
Was your AA damaged by RAF bombing? It wont show any damage unless you click on the province it's in, but typically RAF bombs infrastructure and AA (at least in my games), which can cause some problems down the road if I ever decided to invade Britain.
Yeah, HOI3 does get dull once you take over just about everything. It is much more enjoyable to play as smaller nations, and fight against your much larger (and stronger) neighbors. Can get quite challenging.