I downloaded dead money, got the update for NV, but if I load up a gamesave, I don't get a radio signal that people are saying about.
This might be stupid but did you walk around a little? I waited about a minute or two before it came up. Just wander around for a moment outside.
Also was that the order you did it in? It shouldn't matter because the game doesn't quite have time to load, but... Dead Money THEN the Update for NV then loaded up the game? That might be a cause for concern, the developers mention that the DLC won't work without the latest patch, it's possible that glitched it. You might be well advised to delete the DLC, then re-download it, if that was the case.