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Format doesn't refer to CD/DVD - it refers to your savegames themselves. That message just lets you know that by installing EPs, you change the format of your save games; and if you ever uninstall the EPs, you won't be able to use your new format save games with just the basegame.
For CC not showing up after installing a new EP, see:
Game Help:Getting Custom Content to Show Upwiki.
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