I lose campaign progress when switching campaigns.

I have the Complete Edition of Halo Wars 2 with all of the DLC. I started the Halo Wars 2 campaign and got a little bit into it then decided to start one of the campaigns that come with the DLC. When I start one of those campaigns, or switch from one campaign to another, it always overwrites the campaign I previously played, and I have to start it over, which overwrites the campaign I was just playing. So basically, do need to finish a campaign all the way through before I go to another one? Even if I do that, the campaign I completed will be erased. Please HELP!! Thank you!!