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what region is your game? the game must be the same region as the DLC for it to work. so if you got an imported copy you need a PSN account in the same region to get DLC that will work. i believe the option to start RDR or UN was added with the recent patch, so it would appear whether you have the DLC or not. but if you've got a domestic copy of the game then i wouldn't have a clue why the DLC isn't working.
this is silly.... i have the same problem too, why the DLC need to be region lock? I was in UK and i came back to Malaysia after my studies (logically i bought RDR in UK) and recently download undead nightmare from SEA region, can this issue be fix?
PS3 games are not region lock, the DLC shouldn't be region lock too...