Good question, adding malts like chocolate, roast, some crystal, you are adding unfermentable sugars. Though the sugars are soluble they are unfermentable giving you a higher final gravity, the main reason I suspect of so many folk complaining of a stalled ferment.
Two ways to get around this, cold steep or hot steep those grains, filter and add to the boil, my preferred method perform mash out at 77 C for 15 minutes adding the above grains at the start of mashout.
Makes salt additions a lot easier, makes for a smoother tasting beer and largely decreases any chance of astringency from the roasted grains.