Can't Play on PC, Asking Me to Buy Again

I have the game on my steam account, linked to my Xbox account, and when I try to start a campaign it says I haven’t downloaded the game. So I open steam store like it asks me to and it’s saying I have to buy it again?? Or buy each individual game? I’m not sure what’s going on because I already have the game on PC, I don’t know why it would prompt me to buy it again. Is there somewhere that I’m supposed to download each individual game or something?