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It is, as MarVerine wrote: the dlcs are already installed in the game. But you actively only use the ones you own. If you play multiplayer, you then can use the dlcs from others.
In other games from paradox, like stellaris, you can even see, how the computer players use the stuff from the dlcs against you. For example, when they introduced the titans there, i suddenly had to fight against them, but could not build them myself.