It would seem that whether or not the DLC works depends on which edition of PoE 1 you got and how you obtained it (i.e. which Steam subscription you own).
Judging from the information on SteamDB I currently suspect that the depot association for the Gaun's Pledge DLC is misconfigured and thus not available for owners of all of the various PoE 1 subscriptions in existence.
As an example: I own the regular Royal Edition, package #61328. This package contains the Gaun's Plege DLC app #851470. However, the package does not contain the depot #812231, which contains the actual DLC file. I gu