That is how I found Dawnguard. It was not listed in the "Dashboard Marketplace"

Same here. I'd wait until it actually appears in the Marketplace normally though - charged me 1600 points and didn't download.

EDIT: Recognises that i've paid for it, just won't actually download.

And if you download it all while your still on the Skyrim main screen, when your download is finished, go back to dashboard and re-load the game, and it will show "Loading Add-ons" for it to get working.