Aw, man, I could have told you that. Yeah, extremely lame. This was a heated subject for a while at the Gearbox forums. Also, beware of trying to mix retail and Steam versions of Borderlands stuff. Apparently, that's a no go.
That's usually true w/ most PC games - you usually cannot mix Retail and Steam versions for base games + expansions. Also, you usually can't mix Retail and Digital Download versions. Often, there's different DRM schemes involved.
Usually, you buy one version for the base - you're locked to get all DLC + expansions through the same service. Or, you'll have to re-buy the game somewhere else to get everything.
EDIT:
I just picked up a retail copy of Borderlands GOTY and amazingly enough none of the DLC are on the F'ing disc. It's just regular Borderlands with a leaflet that ahs instructions on how to download the DLC from the Gearbox site.. That's nearly 4GB of downloads (if not more).. Lame. So lame.
Oh, that freakin' sucks! Bah!
If you're a BL Vanilla Retail owner already or own both BL Vanilla + DLC Double Pack (Zombie + Moxxi) from Retail, then BL: GOTY isn't worth it - unless you get a great buy on it ($20 or less). You might as well buy the damn DLC directly-to-download from Gearbox Online Store, if that's the case.
I really wish for this game, they'll allow Retail Keys to be uploaded to Steam - since I'm trying to avoid Gearbox Online Store.
EDIT 2:
Yeah, that's a convenience I can appreciate. On the other hand, the DRM can be a tiny bit of an issue on PC but I think the DLC only needs a one-time registration and it's set. The questionable part is with uninstalling/reinstalling and revoking the tokens.
ALL of the BL DLC has Securom Internet Edition DRM w/ 5 installs + revokes allowed.
Securom -> Borderlands + DLC - DRM information.Securom -> BL DLC Revoke Tool.