The DLC content included in Columbia's Finest has been repackaged from two different DLC packages that were available at an earlier time. In the Steam app under the game’s DLC tab, they’re still listed under those earlier names so you won’t actually see anything named “Columbia’s Finest” listed. Instead, they’ll be listed as "Industrial Revolution Rewards Pack" and the "Upgrade Pack."
Here’s how to see your DLC associated with the game:
In your Steam Library, right-click on the game in the list, and select "Properties" from the pop-up menu. In the "Properties" window, click the far-right "DLC" tab. In the "DLC" tab you'll see all the additional downloadable content associated with your game.