That workflow seems okay.
To answer your first question: When you drag and drop a network dataset into the map, it does not add the network source feature classes to the map. In ArcMap, it would ask you every time, which we thought was annoying. For Pro, we just disabled that behavior, so this is expected.
As far as the workflow, everything you've done is correct, but for some reason the Add Locations tool is taking forever. Sometimes we see this if the network dataset's source feature classes or the the points you're locating don't have a spatial index. It takes a really long time to calculate the network locations if the features aren't indexed.
For each source feature class of your network dataset, find it in the geodatabase in the Catalog pane, right-click and open the Properties, and go to the Indexes tab. Check what's under the "Spatial Index" part and calculate it or re-calculate it as necessary.
If that's not the problem, then I don't really know what to tell you. You should probably call Esri Support so they can examine your data and workflow in detail.