I just got The Collection on Steam about a week ago and for whatever reason, all the dungeons still say I need the necessary key for it.
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Fill in the form linked at the bottom of this page: https://help.bungie.net/hc/en-us/articles/360049497351-Contact-Form-Missing-Eververse-Item-or-Add-On-Items Bungie will review the ticket during the week (Monday -> Friday) to determine eligibility and in most cases simply apply the missing items to the active account. If the dungeon keys are missing, then the reward passes will likely be missing too - so mention that.