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Did you Pre order? Check your email, you should have a code to use to activate in Steam. What Ulfing said - ignore this: In the first screen after you start eu4 and the game is loaded, do you see CoC to the right of where the start dates are?
I only preordered the DLC and the Content Pack and I got the email around 12:00 CET, it said I could activate it on steam, which I did, both entries showed up in Steam DLC area for the game. Then there was the first patch, which I needed to Verify Game Files because it listed no DLCs, then the CoC DLC was released and the same size patch came and this time it worked.