I don't see the Add to Menu link/icon

The link will only show up on a page if the component is supported by Add to Menu.

With most of the pages, you will have to save it before you can see the Add to Menu link in the status bar.

Can I add support for other components?

The PRO version has support for a number of well-known 3rd party extensions such as K2, FLEXIcontent, MyBLOG, Virtuemart and redSHOP.

Add to Menu works with xml component templates. You can optionally create your own component templates to add support for it. This is a little complicated but you can find more information on how to do this here:
Component template XML files