Yes, every DLC is related one way or another, they don't share the same locations or stories but they are all linked in a background storyline.
EDIT: in case I completely misread this post then look at this thread http://www.gamesas.com/index.php?/topic/1153932-the-couriers-future-story-arc/
Yes, I've read that post but that is speculation. I was wondering if we actually know anything about whether or not the next 5(?) DLCs will all be about the courier and whatever happens between him in Ulysses. I think there ought to be at least one DLC that is different.