I took my 360 to my modem in the other room, hooked it up, bought Dawnguard and downloaded it. Once it was finished I brought it back into the other room, loaded Skyrim, and it said it was loading the DLC.

The first time, I loaded up my save file and it came up with that message about the save file relying on some content that is no longer there, as it would if you had uninstalled an addon.
Tried it out, and nothing showed up in-game.

Figured it was a fluke, so I loaded up Skyrim again. The title screen said it was loading the additional content just as it had the first time, no message about the save file relying on missing content, yet the cave leading to the Dawnguard area is not there, nor do any guards have anything to say about it.

For me at least, Dawnguard only loads when I am connected to online. If you load your file offline Dawnguard will not load. And if you ever reload your file offline you will lose all progress you have made in the DLC.

EDIT: Turns out I wasn't at the latest update like I thought I was.

User error, replace user and try again.