I just purchased DOW2 Anniversary Edition. The description says:
Warhammer 40,000: Dawn of War II - Anniversary Edition is the definitive Dawn of War II experience, featuring the original Dawn of War II, Dawn of War II - Chaos Rising, Dawn of War II - Retribution, Dawn of War II - The Last Stand, as well as all DLCs and cosmetic items.

In my library I see 2 new games added:
* Warhammer 40,000: Dawn of War II + Dawn of War II: Chaos Rising
* Warhammer 40,000: Dawn of War II - Retribution

When I go to the store page for either of the two games in my library, they bring me to the Anniversary edition store page.

When I look at Downloads, I see:
* main game title offline backup installers (3 of 3 parts)
* patch (1)
* Extras: Wallpapers (22)
* Extras: Soundtracks (WAV) (35)
* Extras: Trailers
* Extras: Concept Art (4)
So each of the (2) games added to my library have the same list of extras and just the game installer and a patch

Where is The Last Stand?
Where are the Race Packs (originally DLCs)?
Where are other skins, etc that were DLCs (description: "...as well as all DLCs and cosmetic items")?

Is this the replacement for the Grand Master Collection? I got that on steam back in a bundle, but Steam shows Anniversary Edition instead of Grand Master Collection (which was originally the Master Collection lus some addiional content). Did they just change names over time?

Can't help you since I own only the first game. But if you can't find a solution try contacting GOG support.

and where they should be if they are part of Retribution? Retribution itself is separate game, same as DC and SS.

Extras on GOG bundles indeed always only for last of bundle.
also, DOW2CR/Ret have own subforum, DOWWA/DC/SS have this one subforum.

Store pages never related to Library, in no storefronts. Esp for DLCs. Especially in Steam, but still GOG too. Real DLCs list - in Library.