You need to use each of these buttons in order.
- Annotate your components. (Button1) [Essential]
- Run your ERC (Button 2) [Optional, but helps you avoid letting the magic smoke escape.]
- Associate each of your symbols with the relevant footprint. CvPCB (Button 3). [Optional only if you are using a fully defined component]
- Import your netlist (Button 4).[Essential to get to pcbnew]
You seem to have missed out (3).
See this FAQ
You can only skip this step if your component already has a footprint linked to it. Your Arduino and U1 have had footprints associated with them but you haven’t associated any of the other components with a land pattern. How is pcbnew going to know that you want to use a tiny 0402 SMD capacitor or a monster through hole electrolytic and therefore what footprint to put on the board? This is one of the advantages of KiCad - you don’t have to decide what component to use until you get to design the board. In other ECAD systems - e.g.
Eagle, you have to define everything up front.
This is how your CvPCB table looks in the project you uploaded earlier - you must have done something subsequently to get you Arduino symbol in but you can see it is largely unpopulated so there is no surprise that there aren’t many components on your board!
On a separate point, the stock symbols and footprints are not supposed to be edited but if you do edit for your own purposes, they should be copied into your personal library in your user space where you have write access.
This is now getting a long way from the original post.
EDIT
And, furthermore you will run into a problem with your DHT22 symbol where you have defined the GND pin as passive.