GOTY edition's DLC aren't ESMs and you don't want to make the DLCs ESMs for a number of reasons.
A) They have placed stuff in most cases and a bona fide ESM which alters Oblivion.ESM areas will cause the floor to fall out from under you in game. That's why Shivering Isles is merged, by Beth, directly into Oblivion.ESM and its .esp is empty and why all the other DLCs are not ESM'ified. This is not the case with Fallout 3+ as its ESM plugins work differently (ONAM Lists in ESM file headers).
B
) If you change their file extension and have them as false flag ESMs to avoid A), you'll still have problems in the event a mod has a DLC as a master in that the .esp needed won't be found, making your game crash at startup.
As for merging them all, it's possible, but there's a high probability you'll break all the dialogue. Each DLC with spoken dialogue has its audio files in a folder named after its plugin which MUST match the FormIDs of their corresponding INFOs. Merging will almost invariably necessitate changing of FormIDs. Also, you'd break all compatibility with plugins that patch, edit, or reference the DLCs in their original state. Also, in the absence of any given plugin, its BSA will not auto load unless you manually add it ti your sArchiveList in your .ini.
Objectively, you should probably just revert to the original plugins and leave 'em alone. Merging stuff
can be advantageous, but not in this case.