I purchased The Two Colonels DLC from Microsoft store and the content appears as owned in the Xbox application:
Pressing "install" briefly flashes this screen, the page the reverts.
In the game's chapters menu, the DLC is locked. I've restarted Metro Exodus and the Xbox app after purchasing.
Windows 10 64-bit (build 18362)
I had to manually initiate the download in the Microsoft store application (which is separate from the Xbox app), the DLC was immediately "unlocked" in the game, not even restarting was necessary.
And to answer the question: yes, paid DLC is clearly supported since the Game Pass members receive an exclusive 10% discount:
For game DLC and add-ons, Xbox Game Pass members receive up to a 10% discount from the day the add-on is released.
