How very odd! I play all the DLC with no problems, and it was completely installed from the second disc that came in the Ultimate Edition set. In fact, I then copied all of the DLC packs to a flash disc that contained my game saves and took it with me when I visited my daughter at college. I played my saves on her Xbox without any sort of problems even though SHE only has the base game with no DLC. All of my content worked, so... I'm stumped.
Only other thing I can think of is - do you have the latest Xbox Live game update for Dragon Age installed? I'm not sure which patch version of the game it is, but is supposedly corrects some issues with the DLC. <shrug> What you describe is a new one on me. :catfrustrated: I just can't imagine...