Do I lose on any content if I only get SM?

Both are good games, but if you just want to buy 1, then Shadow magic is arguably the better game, it has extra races and another plane to enjoy.

Also SM has tons of user created mods and scenarios if you like that kinda stuff.

You'll miss the campaign for AoW2 if you only buy SM.

Both games install and run independently from each other, if that's your question.

Shadow Magic is the better deal as it enjoys more community support than AOW:II. Check out heavengames.com. Although the hub is named AOW:II, the vast majority of the content hosted there is for AOW:SM.

You lose the Wizard's Throne campaign. Skip it if you only care about multilayer. But it's a great campaign.

Yep, "Wizard's throne" is a good campaign, that lets you try every kind of magic in the game. Personally, I loved it.
But that's the only "extra content" that is specific to AOW2.

Shadow Magic also has extra spells, units races etc and generally a bit more 'content' but the campaigns are different so you could always buy both :)