A lot of Paradox expansions don't make it to Steam for some reason. I bought EU3:HTTT on Gamersgate after buying the base game on Steam, and it works fine.
The directory is hidden away somewhere, it's not in an obvious place like the Applications folder. Steam is weird like that.
But once you find the proper directory, the Gamersgate Semper Fi should work fine with Steam HoI3. Then you have the added bonus of not running the Steam client when you want to play the game