Same problem here and it's really shame it doesn't work like that. It would be expected for RaceNet to be main source of multiplayer content and destined to connect friends across all platforms. I play from steam and I can see friends from PS4 on global leaderboards of challenges but not in "friends" filter. The same goes with clubs. I have PS4 friends connected through RaceNet and we are in club. So leaderboards of club-events show them on "global" filter but not on "friends" filtering. That would be huge improvement of crossplatform multiplayer experience and fun to compare results with one click.