Typically a component in a design is represented by a footprint (or more precisely the land pattern of a component is part of the footprint)
This land pattern defines the interface between the pcb and the component via so called pads. Pads contain a definition for the copper area needed and also a definition for the soldermask cutout.
This soldermask cutout can be disabled in the padsettings so it might well be that you do not have it for your design.
With your screenshot we can however not really tell for sure if you have soldermask or even pads (A gerber does no longer contain information about pads and you did not select the mask layer as the active layer which means it could simply be “below” the copper layer.)
These FAQ articles might help you:
- What is the meaning of the layers in pcb_new and in the footprint editor?
- Tutorial: How to make a footprint in KiCad 5.1.x (From scratch)? (Explains how to make a proper footprint with all the details including how to properly handle soldermask.)