Did you buy Shadowkeep or did you buy a season pass for silver? Did you make this purchase before or after turning on cross save?
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The shadow keep deluxe edition, I bought this before cross saving.
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So what happened is when you purchased Shadowkeep the only D2 linkage existing on Steam was your Steam account, so the season pass was assigned to your Steam characters, even if none existed. To have a season pass unlock from a DLC purchase attach iteself to your XBox account you would need to make the DLC purchase AFTER cross save was enabled. Unfortunately Bungie doesn't provide any service to transfer season pass, so your free season unlock that came with Shadowkeep is tied to your D2 characters on your Steam account and not your XBox characters.