It’s because Roon allows you to browse two different music collections: your Library (which can consist of local albums plus Qobuz albums that have been favourited), and the Qobuz collection. The latter consists of some albums that you have favourited, plus the rest of the Qobuz universe of albums.
You will only see the “Add to Library” button when using Roon to browse the Qobuz universe.
True, you will see that message even when you browse through favourited albums that have already been added to the Library, and that’s kinda confusing, but clicking the button has no effect on these albums, because they’re already in your Library. A perfect design would probably change this button to an “Added to Library” message…