I had a similar issue this morning. I own Halo: The Master Chief Collection from the Windows Store. The Microsoft Store App automatically downloaded the update for the game this morning and no other updates were showing.
When I launched the game via the Xbox App, and went to play the Halo 2: Anniversary Campaign, it would tell me the content was not installed and asked me if I wanted to install it (I declined), yet when I went and checked via "Options and Career," the Halo 2 content was installed but had the same blue lock you did. This also occurred to me when Halo: Combat Evolved Anniversary launched.
I restarted the game, with no luck. Restarted my PC with no luck. Checked the Windows Store App for updates again, and nothing. I was able to uncheck the Halo 2 content (though I did not confirm and uninstall it), and I finally went back to the Campaign menu and accepted the prompt to Install, and it did nothing.
After dropping back to desktop for a while, I got a Windows Notification that "Halo 2: Anniversary has finished installing. Check it out!"
I went back in to the game and everything is now working fine. When I check for updates in Windows Store App, there's now specifically one for Halo 2: Anniversary with it's own graphic. The only oddity is my overall install size for Halo: The Master Chief Collection is 10 GB smaller than it should be according to yesterday's patch log, and I don't know why. It's 64.7 GB for me when it should be 75 GB.
Having said that, perhaps accepting the prompt from the Campaign menu to install the content got it going. If not, then I can only conclude it actually wasn't done downloading even though no download was shown at all. Perhaps it'll be the same for you.