Generally you can't mix files from different game versions due to DRM or file differences. Steam has DRM by default, and I'm pretty sure Epic does to. So I'm doubting you can just copy/paste the files. Likewise, on Epic you'd need to download the whole game and not just the DLC.
You can see if there is a way to covert Steam BL2 save files to EGS BL2 save files to carry over your game save.