Check in store and see whether the DLC shows as "owned" or "installed" - if it's the former, click the install key, sometimes the Xbox doesn't install DLC immediately. Failing that, make sure you've got the right scenario installed in game for the loco - DLC locos will only appear if the correct location is also installed.
BR155 requires Ruhr-Sieg Nord BR363 requires Ruhr-Sieg Nord BR182 requires Rapid Transit BR101 requires Hauptstrecke Rhein Ruhr BR204 requires Main Spessart Bahn -- Class 465 requires Southeastern High Speed Diesel Legends of Great Western requires GWE BR Heavy Freight Requires Northern Trans Pennine Class 20 requires Tees Valley Line Class 31 requires Tees Valley Line Class 52 requires West Somerset -- MP15DC requires Peninsula Corridor MP36PH requires Peninsula Corridor SW1000R requires NEC [NOT available for TSW2!] M3 requires Long Island Rail Road