Teegrins!

There may be a delay indeed, but I personally never experienced any.
In the case it will not be solved by itself, here are some thoughts.

To make sure, you did enter the codes at the Square Enix Account Management System?
  • https://secure.square-enix.com/account/
Directions to confirm registered services and to add new ones:
  • Services and Options
  • Select Service
  • PlayOnline / FINAL FANTASY XI
  • Active Service Accounts
  • PlayOnline / FINAL FANTASY XI 1 : [PlayOnline Member ID] (Assuming #1 is the desired Service Account.)
  • Options List
  • Permanent Options (This should show you the registered options.)

You mention they are not 'lit up' in the title-screen, before the character selection and such screens?

Which of them are missing, exactly?
  • A Crystalline Prophecy
  • A Shantotto Ascension
  • A Moogle Kupo d'Etat
require
  • FINAL FANTASY XI
  • PlayOnline
  • Rise of the Zilart
to be registered, and installed.

For the Abyssea add-ons, one needs to have
  • FINAL FANTASY XI
  • PlayOnline
  • Rise of the Zilart
  • Wings of the Goddess
registered, and installed.

If it's only the add-ons that are missing, but for example Wings of the Goddess is there, and is playable, I would suspect some error in the registration procedure.

Since you got it via Steam, all the required expansions should be installed if no errors have occurred, so this basically leaves the registration codes as a possible issue.

If you have properly registered them all via the Square Enix Account Management System, and they are shown there for the correct PlayOnline Service Account, I would suggest you to contact the Customer Service via the Support Centre/Center regarding Account/Billing.

Europe:
  • http://support.eu.square-enix.com/contacttop.php?id=455&la=2
Japan:
  • http://support.jp.square-enix.com/contacttop.php?id=11&la=0
North America:
  • http://support.na.square-enix.com/contacttop.php?id=20&la=1
Other:
  • http://www.square-enix.com/

Good luck!
I hope this helps~