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The folder C:\Program Files (x86)\Steam\steamapps\common\crusader kings ii\dlc should exist and contain two files called dlc001.zip and dlc001.dlc
 
This isn't just a Steam problem. I have the GamersGate version and the same thing happened to me after installing the patch and reinstalling the COA DLC through the in-game store.

After I disabled the DLC in the launcher and closed it, I then relaunched, reenabled the DLC, and then tried the game and the historical COAs were restored. I don't know if that will work for you but it seems to have worked for me.
 
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