magit-stage-modified only stages modified files. Files that are not being tracked by git are not modified. Here "modified" means "there are changes compared to the changes in the index". Files that are not even being tracked are not in the index.
You can stage all untracked files by moving the cursor to
Untracked files (5) and pressing s. Or you could invoke
magit-stage-modified with a prefix argument - in that case it also stages untracked files.
You should also read Getting Started in the manual, which among other things, describes various ways to stage changes.