Right, "Add Game" is a more general way of adding already-installed game to Heroic. So the assumption is that if you click "Add Game", you already have a game downloaded you want to add to Heroic. If this game is from Epic/GOG/Amazon, you shouldn't use that feature
Since you don't have a game downloaded in the first place (at least that's what I've gathered from your past few messages), you don't want to do either. Just install the game normally