When you received your game key from Humble Bundle, you may have received a non-'Ultimate Edition' of the game. However, by that time, Steam had updated their store page to only offer the 'Ultimate Edition' and DLC were de-listed. Because of this, Steam assumes that you own the 'Ultimate Edition' (as well as the included DLC) but you actually only own the base game and you can no longer purchase the DLC from the Steam store. A real doozy of a miscommunication!

To correct this concern, you'll need to purchase the DLC separately and manually add them to Steam. Other online retailers may still offer the opportunity to purchase Control's DLC and you'll have to buy them there instead. (I used Humble Bundle's store but other sites might also work)

THE FOUNDATION:
https://www.humblebundle.com/store/control-expansion-1-the-foundation

AWE:
https://www.humblebundle.com/store/control-awe-expansion-2

Once you've purchased and downloaded the additional content, launch the game and the main DLC missions should automatically be added to your quest log. You should now be able to access these new locations. If they're still somehow not added, try verifying game files and/or reinstalling the entire game.

To add pre-order content (e.g.: costumes), you may need to modify game files with a hex editor. Please consult an appropriate guide on how to safely do this.

Hope you have fun!