It's a little bit more straightforward to add a player on the ROBLOX Player. At the top of the home screen, you'll see "Friends" and then a circle, that has an icon of two players, saying Add Friends.

If you add Roblox Player to your Steam library via the 'Add Non-Steam Game' feature, it will appear in your library, but will not open. Strangely, the same cannot be said for Roblox Studio.