They do, but cross-platform is not the same as ‘Play Anywhere’, there’s a big difference. You cannot play a Steam game on an Xbox, you can matchmake with the players though.
The current marketplace is ‘Play Anywhere’ for add-ons. i.e. all Xbox add-ons can be used on Xbox, MS Store, and Steam editions of the game, and all PC add-ons can be used whether you’re on MS Store or Steam.