You have to enable the DLC inside Galaxy first. If you don't use Galaxy you have to download and install the DLC from your Library. Look at the screenshots for further details.

Many thanks for the tip
I did not have that problem with the previous DLC

I don't use GoG Galaxy, so I downloaded the DLC from my library as you suggested (the file was named "setup_frostpunk_on_the_edge_1.6.0_(40599).exe"), and ran it. After finishing the installation, I ran Frostpunk - and the new DLC didn't actually appear inside the game. When I checked in the "expansions" menu, there was just "The Rifts," "The Last Autumn," and "Coming Soon."

How do I fix this issue? I'm interested to play this new DLC.

You have to update the game first. Download and install the game and all the DLCs again. Don't worry, this will not affect your savegames.

Thanks! I'll give that a try.

Installing the latest version before installing the DLC worked perfectly! Thanks, Hustlefan!

By the way, does anyone know why GoG puts up patch installers for the second-to-latest version of a game, but not for the latest? It seems like a strange omission, so there must be some significant reason behind it. Is it just that patch installers take a long time to make and test compared to new builds of the game, and so aren't usually ready in time for the release of a new version of a game? Or is it some condition of how games are licensed through GoG?

thanks for the tip.
the GOG interface is really bad at explaining which DLCs are installed and activated. It should be clearly listed on the main page.