Well it turns out that everyone was wrong, and I am very glad. It's actually just episodes 2, 3 and 4. I'm glad because I already had the full Jazz CD and Shareware, so I got something different, and even though I already had those episodes, I have a new installer to add to my collection. Every Epic Megagames CD has a special single-file dos installer on it that installs the game. The Jazz related installers are:

1: Jazz Jackrabbit: Episode 1 & Xmas
2: Jazz CD - Full Installation
3: Jazz Jackrabbit: ATI Setup Fix
and my new one...
4: Jazz Jackrabbit: Episodes 2, 3 and 4

So I'm glad I have another to add to my files.