First, try restoring licenses:
http://www.bungie.net/en/Help/Article/12181
If the Expansion was purchased from a retail store, you may not have completed the transaction.
Most retail expansion purchases fund your console account with the funds required to purchase the expansion from the console's online store.
Check your account balance, then complete the purchase.
Bungie post on the matter:
http://www.bungie.net/en/Forum/Post/83376622/0/0
English
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I didn't buy it from the retail store, I typed in a code and it the code said it would put everything in for me.