Don't know about any "chicken and egg" scenarios (but then again, my machine is set to ask my permission before even starting RTW after I put it in the disc tray), but I do it all the time to unlock files I want to monkey around with.
Alternatively, sometimes just renaming the Total War program file itself (e. g. renaming it from "C:\Program Files\The Creative Assembly\Rome - Total War" to something like "C:\Program Files\Monkey Peaches\Rome - Total War" upon installation makes them easily editable. That's what I did before I figured out how to bypass the lock in the method I described above.
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