A friend shared an album, I can edit and export, etc.
I would like to add some of these photos to my personal library/album, but that option is greayed out. So the only way I see of doing this now is to export first, then re-import, requiring a round-trip to my PC. Am I missing a better method in LR to just do this in the cloud?
Only the owner of the shared album can copy contributed images into their other albums. If the intention here was for your friend to contribute photos to you, the way to do it is for YOU to create an album which you then share with your friend. Provided the album settings include the "Can Contribute" option, any images which your friend then adds to that album will be available for you to do with as you will. So you could then copy them into any of your other albums, shared or not.