You might really need to take a look at the (Start Here) Frequently Asked Questions
particularly:
Maybe also
- How does KiCad know which symbol pin represents which pad of the footprint?
- How to create a bill of materials (BOM)?
- Tutorial: How to make a symbol (KiCad v5.1.x)
- Tutorial: How to make a footprint in KiCad 5.1.x (From scratch)?
The symbols in the digikey lib are already connected to a footprint within their library. (so called fully specified symbols or sometimes also called atomic parts)
The same is true for many symbols in the kicad library.
You can of course still overwrite this connection later on. (useful as you for example might want to use the handsolder version of a part.)