[2023] Steam-Windows Store compatibility

I'm afraid that buying DLCs from one store does not get them for free on other stores. Steam got none of the money you paid to Microsoft for those DLCs, so have no reason to give you access to them on their system. You'd need to get Microsoft to send your purchase money to Steam and I just don't think that's going to happen!

Happily they are all on sale on Steam right now!

Save 75% on Stellaris on Steam

Explore a galaxy full of wonders in this sci-fi grand strategy game from Paradox Development Studios. Interact with diverse alien races, discover strange new worlds with unexpected events and expand the reach of your empire. Each new adventure holds almost limitless possibilities. store.steampowered.com
All the best.  

The Paradox launcher has two modes, standalone and Steam-compatible.

When launched standalone it works as you describe, and checks your Paradox account for ownership. However this game is no longer supported on that platform, and recent patches and DLCs do not appear there.

When launched via Steam, its function is to allow you to choose mods, DLCs, and change game settings before starting the game. Ownership data comes from Steam in that instance.  

As I mentioned above, it is on sale on the Steam Store right now!