Honestly it’s their choice to do that. This is more of a Linux issue. They should support Linux natively or wrap it in proton themselves.
Roblox isn’t a game, it’s an entire platform. If you run a platform like Roblox, you are probably running into the same monetization issues that Epic has with Apple.
I don’t think Roblox is on steam to begin with so this isn’t really a steamdeck Valve problem.
What does monetization have anything to do with blocking the app from working with proton? You can’t use proton to generate free robux, or access paywalled content for free. And Linux isn’t a walled garden like apple, so there is no monetization issue comparable to epic v apple.
And while Roblox might not be on steam, the steamdeck does come with a fully-fledged desktop interface that exists specifically to install non-steam games.