Not sure if there is anything I can do about how Steam handles the DLC. I don't know why it should work any different for my DLC than for any other.
Everytime the game skips a CG scene, a text message appeared. If the text message wasn't there for any of those events, than you didn't have a CG scene yet.
Link gets her scene a while later, so I'd assume if anything, you have only missed the scene with the Queen. Check the CG room if the replay option is unlocked. If not, than you haven't played her events to that point yet.