Im having the same problem. Downloaded it 2x, installed it, and checked to make sure the disc coding is correct. Still will not appear on main menu as dlc. Not sure but Sony needs to get their Shyte together or microsoft may have a new gamer next month.
I found this fix elsewhere online for the PS3 version. You have to go to the Utility Game Data in the Game section and look for the New Vegas DLC CA (the load date is unimportant). Delete that file and then reload Dead Money. You will then see it in the games DLC section.