This works fine for me. Bear in mind you need to profile each of the game executables directly, do not the EA launcher program.
Create a profile for each C&C game. For the Generals and Generals ZH profiles, you need to point them at generals.exe (you can use the built-in CCG/CCG:ZH profiles that GJ has).
For Red Alert 2, you need to point it to RA2.exe and for Yuri's Revenge, you need to point it to Yuri.exe (in the same directory as RA2).
I think the executable you need for Tiberian Sun is SUN.exe.
C&C and Red Alert don't need a profile. You can use an ordinary shortcut, but you need to specify a commandline option for them, which I think is -cd. or similar. I'll need to check my laptop to check for sure.