After installing Old World Blues DLC and beating it, I tried to give it a go and going again to Zion, which was my susprise that after going trough the cave and try to enter, a mesage of "You must first travel with the Happy Trails Caravan!" pops up. Does anyone else have this problem?.

Also, does Dead Money DLC is affected by anything like this?.

Don't know for sure about Dead Money, but Honest Hearts is one time only... that's what's nice
about OWB, you can go home again.

Ya got it reversed, you can return to Zion (HH) but not to the Sierra Madre (DM).

Oops.... sorry, and thanks for correction.