I recently discovered there is no easy way to import a road network from a local Feature Class into ArcGIS Pro, in ArcCatalog, there is the option to generate a New Network Dataset within a Feature Dataset but this is missing from ArcGIS Pro. It would make sense to be within the Create tab or even in the same location as ArcCatalog but it is missing. I currently have to use ArcCatalog to generate a Network Dataset and import it to ArcGIS Pro because the Select Network Data Source option only accepts created Network Datasets, you can not make one. The two images to follow show what I am talking about.
In ArcGIS Pro: