Yes. If I start a new game, the Blood Echelon set will automatically appear in the character's inventory, with the same stats I had before. I checked this for a previous topic (More questions!), when I assumed DLC sets were pre-defined (since nobody had stated otherwise despite screenshots being posted and referred to often), and you asked about that again because items with filled enchantment slots generally have some random stats.

I don't know exactly when the stats are set, but my guess is when the game first initializes the downloaded file.
At least with the Blood Echelon DLC, when starting a new game, only the first character will get the DLC set in each play session; if I exit back to the dashboard and start D2:ED again, then the next new game will include the DLC.