I wouldn't want to see the Thalmor's story wrapped up in a DLC.
It really cheapens the whole plotline. "Oh, look... the Thalmor has brought the Empire to it's knees and is utterly defeated in a span of a few days in Skyrim!"
As for the whole marching-through-the-empire, we're not exactly clear on what the terms of the WGC is; they may hold the ability to move their armies through Imperial territory without retribution. They can already do that to root out Talos Worshippers. Also, the Empire really doesn't want to fight the Thalmor at this point in time- they're still trying to build their forces, and the Civil War (win or lose) is a major drain of resource for them.