However, it seems to be fairly common that the DLC goes partway through, then stops without letting you know this. (I'm *pretty* sure I actually saw a "download completed" notification, though I could have just misread it since I was in the middle of starting things up.) So myself and some others have been playing for a bit, and wondering "hey, when do we get to start the DLC stuff?" until we figure out what's wrong.
So... just consider this a heads-up. If you should have the DLC, and haven't been able to start it yet, try to redownload and see if that helps.