I recently downloaded the ID Complete Super pack on Steam which has almost every ID game (excluding Quake IV), so I decided to find a source engine to run the really old Doom based games. I have the latest version of the Doomsday engine, and every game runs fine except for the expansion pack of Hexen. I have both Wads loaded, but for some reason it keeps telling me that "Hexen wad must be in the same folder as DKDC folder," which makes no sense because they already are.
I've used Doomsday engine before but my experience with it haven't been really positive. Maybe they fixed it now (doubt it) but it was quite buggy, for instance I could walk through certain walls I shouldn't be able
Instead I suggest you download GZDoom which - as far as I know it - has no bugs. It also has texture filtering like Doomsday, if you're not interested in that sort of thing (love pixels) you can get ZDoom which has no OpenGL support. Otherwise give GZDoom a try,I just finished Hexen DKotDC on it and I had zero issues.
P.S. I just found out that you can enable dynamic lightning in GZDoom if you select "brightmaps.pk3" & "lights.pk3" and drag them over GZDoom.exe.