My workaround is using playlists in the TIDAL app (and then adding that playlist to a tag in Roon). But additional albums do not show up in my Roon library so I cannot favorite tracks in them, and I have found no way of keeping track of what albums I have included in playlists beyond the first 10k.
EDIT: And yes, Roon syncs with TIDAL. If you add a TIDAL album to your Roon library, it is favorited in TIDAL. Looks like that link goes both ways: if you cannot favorite the album in TIDAL, Roon does not add it to your library. It would be nice to unlink that last part so I at least can favorite tracks in Roon.