Actually, yes (but still very much no). My c:\program (86x)\Paradox Interactive\Crusader Kings II\dlc folder was very much empty due to GG installing the DLC in the directory pointed out by n0xr above (user\username\appdata\virtualstore\program (86x)\paradox interactive\crusader kings II\dlc) which I can't even find without searching for it. But anyway I was obviously wrong since the files were on my computer, only not where I looked for them.