We are aware of the issue where Crusader Kings II: Horse Lords won't appear in your DLC after you've purchased it.
Our developers are working on this right now and we hope to have it resolved very soon. We sincerely apologize for any problems caused.
There is no need to open tickets for this issue as once it is resolved it will be resolved for everyone.
UPDATED 15/07/15, 17:32
The problem has now been resolved and Horse Lords should be working! Please restart your Steam client and please let us know if the problem persists.
Again, we deeply apologize for the problems caused.