Nope, you are dead on Haxorsist. The three theatres will all be part of a larger map. The arrows to change theatre are just for ease of movement over large distances.
Troop and fleet movement will work the same as in Rome and Medieval 2. The only possible exception to this is sailing fleets around the tip of Africa to get to India. Since southern Africa will not be in the game CA need some way for European ships to reach India. In this case we might see something new, such as ships sailing off the bottom of one map and appearing on the other a few turns later.
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