I have all current expansions installed with my GotY edition, but when I try to check mark them from the auto-menu, I click ok, then open it again and they are not there... I also cannot find any content from those expansions in game.... what should I do?

Try the http://www.fallout3nexus.com/downloads/file.php?id=640
It enables access to this feature, and a great deal more.
Good luck.