Did you get an email with the product codes that you enter into steam? Last time I bought something direct from paradox, the email with the codes went to spam and I missed it.
Edit - To clarify, when I buy the DLC through steam, it updates automatically. When I pre-purchased a dlc in advance from paradox, that is when I received an email on release day with a code. I assumed you bought it from paradox direct because using the website was the only time my dlc purchase did not automatically load.
(You could always restart steam and see if that does it, too.)