This is not a bug, but the fact that the song is being played directly from one of your streaming services (Tidal or Qobuz), not from your library. So if you click on the album link, it will show the album in the streaming service catalogue, not the version that you have added to your library.
If you use the standalone Qobuz or Tidal apps, they use the symbol for marking your favourite tracks, albums or artists in their apps. If you have Qobuz and/or Tidal integrated into Roon, then favouriting an album or a track also has the effect of adding the album or the track into your Roon library.
The imported album or track will not have Roon’s symbol automatically added to it and this is by design. The Roon Favourite function is for the content of your Roon library and is independent from the Favourite functions in the Qobuz and Tidal standalone apps. So the Roon favourite symbol is only available for the contents of your library - you won’t see it if you are using Roon to look at an album in the catalogue of a streaming service.