I had this problem also. But someone on reddit suggested that I go to the details page for PoE, you should see a list of DLC that has all your Royal Edition goodies. Uncheck all of those boxes, wait a while for all of them to update to uninstalled, then check them all off again. Once I did that, steam automatically started downloaded all the digital goodies. Just note the documentary is still in the works and will be pushed out later.
Lediath's post in Where is my game guide, soundtrack, etc for the steam Royal Edition was marked as the answer