I switch over to desktop to install new games, but that isn’t strictly necessary - you could run Heroic in game mode and install from there.

Once a game is installed through Heroic it will automatically add a shortcut (I.e. Non-Steam game) to Steam. For the shortcut to be visible, however, the Steam client needs to be restarted. This is why I switch to desktop for all my installing needs then reboot in to game mode. When playing, I never need to leave game mode.