I found some of the games that I DL and installed in the game directory but for like my recent planescape torment I can't find any of the goodies in the install directory.

Where are they?

Yep, that is correct. And you do need to download all the extras separately, though considering the fact that the extras can sometimes be quite big, and sometimes only of interest to certain people (like making of videos), I can see why they made it so.