I am currently replaying MM7 after more than a year lay-off and I have come to find out that MM7 takes place BEFORE Heroes 3. So chronologically, the sequence should be Heroes2, MM6, MM7, Heroes3, Shadow of Death, MM8, Armageddon's Blade, and finally MM9.
SoD is the story about how Catherine tracked down her father the Lich and returned his soul to Paradise.
I included MM9 here because if you watch the intro cutscene you will see that the angels helped the survivors to the portal gates after the planet was destroyed by the clash of Armageddon's Blade and the Sword of Frost. This is how Nicolai ended up in MM9.
MM4/MM5 fits in here somewhere, but I am not sure where. The two 4 man groups from the Lincoln came from Xeen. One group becomes Archibald's Advisors (and ultimately usurps the throne in Deyja) and the other, of course, becomes the advisors to Magnus, King of Celeste.
I think (I hope) I got it right this time