Were pre-orders supposed to get the first DLCs?

It depends when you bought the game.

Anyone who backed Phoenix Point before Epic Exclusivity deal was announced (March 12ve, 2019) received Season Pass (5 DLCs) for free as an apology for the change, plus extra key for platform of their choice once the Exclusivity Deal run out.

Right until release the game was being sold using following packages. As you played Alpha I assume you bought one of those. Season Pass didn’t exist at that time, and it wasn’t sold as part of any packages.

Season Pass was announced right before release and here is the breakdown:

If you backed game before March 12ve, 2019, then check your folder (it often lands in Promotions) for keys. If nothing comes up write to support@snapshotgames.com.

However, if you bought one of the backer packages after March 12ve, you only get Living Weapons pack. Year One Edition upgrade is a good way to grab existing DLCs, but you will still need to purchase DLC3-5 as they come out. I don’t think you can purchase Season Pass anymore, sinceYear One Edition came out.