While you own the base game, using an unlocker is legally considered piracy. Paradox has a dedicated antipiracy team. Steam can revoke your entire library for using tools that tamper with the Steam API.

The most famous example of this tool is (and its GUI wrapper, Autocream). This is a generic Steam DLC unlocker that works for hundreds of games. For HOI4, users paste specific DLC App IDs into a configuration file. The tool creates a fake Steam DLL in the game's folder, tricking HOI4 into loading every DLC.