Hello. I bought this game this Week-end and so far I'm loving it, but I wondered ...
Is playing the S2 campaings (Allies and/or Axis) necessary to understand the story of the extension campain ?

If you are referring to the Sentinels expansion, then no, the story is not really a continuation. However, Sentinels is much harder than S2, which is hard enough as it is. Therefore, I recommend playing S2 first to get a handle on it.

With that said, Sentinels is fantastic and IMO one of the best expansions ever. It is so intense!