When I click the Game on GOG and It pop up all big on the right with the Play Button and the More[Dropdown Menu], Down Below it says....

NOT CONNECTED
GOG Galaxy cannot offer online Functionalities at this time, because it is not connected to GOG.com.
With a Connect now Button under this Notice.

But on any other games i have on Galaxy do NOT say that and are fine, so there for I cannot Patch the game. this is the Main Reason I have not purchased the DLC/Expansion. How do I fix this? PLease Help me :/

P.S. When I click the 'Connect now', it ask me for a Code........

Check to see whether Pillars of Eternity is actually present in Account -> library

It's not But I bought it here, why wouldn't it be?

I mean I even launch and play it from GOG Galaxy and it didn't use to say that before and it used to be in my Library

Because GOG is buggy. Try following this link:
https://www.gog.com/account/refresh
and look for Pillars of Eternity on your account again. If it's still not there, I'm afraid you'll need to contact support.