Because Paradox titles rely heavily on multiplayer compatibility, every patch usually downloads the assets for all DLCs—even the ones you haven't bought. You own the files for Legacy of Rome , The Old Gods , and Holy Fury . The only thing stopping you from playing them is a small, 2-kilobyte text file or Steam registry key that verifies your purchase.
If you're interested in playing Crusader Kings 2 with all the DLC content, consider purchasing the game and its DLCs through official channels (e.g., Steam, Paradox Store). This way, you'll have access to official support, bug fixes, and updates.