OK, heres how it works, which is DUMB!
1. Write down all your DLC keys and then launch the game through Steam.
2. Once the game starts up, on the bottom of the main menu click "EXTRAS", then in the drop down menu click "Redeem code" and a box will open where you can type in the keys and activate the DLC's.
3. Exit the game and Uplay, then start the game back up inorder for the DLC's to actually be available in the game. When you restart the game you will get a pop up messege telling you that your DLC's are now available in the game.
This is the first game I have ever had where you must register your DLC keys from within the games main menu and not in the Uplay window or in Steam. Like I said, Dumb way of doing it!
Have fun. :)