I found that if I do a <save> in Photoshop first (which saves a tiff or psd file, depending on the setting in Preferences), and THEN a <save as> to save as jpg, both files are automatically added to the catalog.
I do agree that if I just do a <save as>, without doing a <save> first, the <save as> file is not added to the catalog.
My workflow is good for me, because after developing a photo in LR, I then do further editing in PS, and then save the edited file as a tiff (or psd) at full pixel dimensions, with the edit layers. The next step is, if I need a jpg of that photo (for web or email), I flatten the file, reduce image size, convert to sRGB, etc., then save as a jpg. This way, I have the three files I always make/keep, and all three files end up in the LR catalog.
I agree that I could use the Export function in LR to generate the jpg instead, but 1) I'm too used to doing it right there in PS while I have the file open and 2) I can use all the tools in PS to do tweaks that the photo may need when converted to jpg.