Why didn't you just assume this?
I didn't know that it would be like that so that i had to dl all the files on steam.
Send an email to Microsoft and tell them what happened. Its worth the shot.
Also they told me that it didn't matter if I bought the addon from GFWL and bought GTA IV On steam.
I did everything right.
GFWL and steam basically work with each other, or I would have to DL GTA on that client without steam.
Then again GTAIV has a possibility of just breaking sometimes.