You can still craft them though, right? I believe the steel bolt schematics are automatically learned when you take the steel smithing perk. Steel ingots are cheap, and wood is free, so I imagine he can stockpile bolts even if he's a vamp.
No, you can't. The only means to the lowest quality steel bolts are off dead Dawnguard members, which obviously is a problem. They drop about 2-8 bolts per body, and that's only if they have crossbows. (Some don't carry them at all.) There's also Dwarven Spheres for Dwarven Bolts. Besides those two, there's absolutely no way of getting bolts for your crossbow, which I find to be complete BS. It's pretty much ruined what I wanted out of my Khajiit Vamp thief. :/
The fact that Dawnguard get Vampire Lords but Vampires can't even craft normal steel bolts is a huge slap in the face.