Maybe I can help with understanding Steam and DLC, for a long time DLC purchased from Steam would automatically download and install from Steam's servers. That changed a few years ago for new DLC packages. For most DLC released in the last 4 years I believe, the purchase is processed by Steam but the files are downloaded through the Content Store within the game. As Peter said there is an issue where the purchase from Steam is not associated with your MyTrainz username. This is resolved by a helpdesk ticket. Once they verify the purchase through their Steam vendor account, they will add it to your account so it validates correctly.
The other issue to watch for is that for a while, DLC sold on Steam was limited to only working in the Trainz version it was labeled as compatible with in the name of the DLC. For example, A locomotive might be TRS19 Frisco GP50 and also TRS22 Frisco GP50. If I purchase the Frisco GP50 from the Trainz Store, it will be available for download in both TRS19 and TRS22 but if purchased from Steam as TRS19 Frisco GP50 then it only shows in the Content Store as purchased in TRS19. It does not show as purchased in TRS22. I have no idea why and I don't know if this is still true as I stopped making DLC purchases from Steam because of this issue.