Because an old school URL is the address of a resource that lives out in the World Wide Web. Your Roon library doesn’t live there - it lives inside your Roon Core. So sharing of the content of your Library is done by sharing a picture of the album or track with your friends, or in the Roon Community, e.g. as in this thread:
If you want to share an artist, then you can also share their picture, or if that artist has a public presence out on the Web, e.g. a web site or a Facebook page, you’ll see these listed on the artist page in Roon (in the Around the Web section) - and you can click on them to open the URLs in your browser to share them from there.