Even when "Include Free Agents" is checked, Free Agents do not seem to appear on the MLB Player List. For example, in these screenshots I am filtering for First Name = Andelzon to find Andelzon Abad. He does not show up on the Player List while he is a free agent, but if I assign him to a team, he now shows up. If I unassign him from the team, he disappears again.
On the Free Agents page:
Filtering on Player List page:
As a free agent:
Assigned to any random team: