As noted on Ubisoft's support page:
To play Anno 1404 Venice, you need to launch the addon separately.
This is how:
- Navigate to the game's installation directory. This is the default directory:
C:\Program Files (x86)\Ubisoft\Related Designs\Dawn of Discovery - Gold Edition
C:\Program Files (x86)\Ubisoft\Related Designs\Anno 1404 - Gold Edition
- Look for a file named anno.exe (Uplay version) or for addon.exe (CD version)
- Double-click this file to start the addon
For further advice, please contact Ubisoft Support.