Unlike TESV.exe, the Creation Kit will not automatically load BSAs by virtue of nomenclature, that is loading Dawnguard.ESM won't load its BSAs. You'll have to add its BSA to your SkyrimEditor.ini.
[Archive]sResourceArchiveList2=Skyrim - Shaders.bsa, Update.bsa, Dawnguard.bsa
Same goes for Hearthfire.