There's nothing that says game developers can't allow add-ons to be installed from third party stores. Already works that way with games like Gratuitous Space Battles. I've bought the expansions on third party stores and simply put the zips or whatever in the relevant game folder.

I don't know if something has changed since that game, but I don't see addons sold by 3rd parties as a popular avenue for consumers simply because you have to then manually manage it.

Will say it would be nice to own games on one platform and be able to buy and manage the game via steam. Select the platform you bought it from / the install folder and let steam automagically update the DLCs in there for you.