Some general observations:
WADs placed in "%UserProfile%\Saved Games\id Software\DOOM Classic\WADs" show up as installed Add-ons.
WADs placed in "%UserProfile%\Saved Games\id Software\DOOM 2\WADs" show up as installed Add-ons.
Only one can be active at a time?
Menus don't change.

The WADs:

I wanted to add Jptr_fix.wad and JPTR_V40.WAD from The Lost Levels.
Could not have both active.
The episode names 1-3 did not change.
The new levels are loaded instead of the original.
The maps still display the original names.

I wanted to add NERVE.WAD from Doom 3 BFG.
The episode name was not added (like in BFG) or did not change.
The new levels are loaded instead of the original.
The maps still display the original names.

I wanted to add SIGIL_v1_21.wad from Sigil.
Documentation says that it adds an Episode 5, so I didn't see a way to load the new levels.

I wanted to add SIGIL_II_V1_0.WAD from Sigil II.
Documentation says that it adds an Episode 6, so I didn't see a way to load the new levels.