It's a common issue with most games with workshop support but don't fret here's a simple instruction to get it downloaded.

Right click on Europa Universalis IV and go to "Properties" then go to "Updates" and enable "Steam Cloud synchronization for Europa Universalis IV". This tells steam to download all relevant data for EUIV including workshop content. (and remember to verify the integrity once after you followed the steps just in case).

If THAT doesn't work then complain to valve since it's an issue with their servers. And comment down bellow if this helps.