Only the last 6 add-ons (ACP, MKD, ASA, Scars/Vision/Heroes of Abyssea) have their files downloaded with the updates. You need to physically install the regular expansions (RotZ, CoP, TAU, WotG) from the original media. Depending on how you purchased it, this may be individual discs, or individual folders with-in the unpacked package(s) that each have their own setup or install executable file, or possibly a custom installation option when you run the setup routine that allows you to select which expansions to install.