The Steam client has to restart in order to pick up the newly added external titles, at least last time I tried. In gaming mode, restarting the client means restarting the system, which is ever so slightly annoying.
Apart from that though, it works just fine on the Steam Deck.
I just tried it today actually - I just had to exit the steam deck UI mode, enter desktop mode, add them with Heroic, and then restart the deck UI mode from the desktop shortcut and it worked!
Apart from that though, it works just fine on the Steam Deck.