I bought Bounty Train Trainium Edition (upgrade), but 'New West' DLC is not in my Library.
Why ?

I just bought it too and I see a trainium edition upgrade DLC in the list, which I assume contains the New West DLC as advertised. As I understand it, you should see some mention of the DLC in game if it's installed, however you won't be able to play it without having finished the main campaign first. I didn't install the game and Trainium content yet, but keep us informed if you see no mention of the DLC in game !

EDIT : I just checked, the in-game menu has a "Begin DLC" button, which I guess means everything is fine.