Thank you for this question.
During the pull process there two stages of displaying the files which will be pulled to your project.
On the second screenshot, with the Pull wizard, which you've attached, there are files which are already present in your project and the IDE will verify if they were changed on Salesforce.
On the next stage of the Pull process, you will get the list of newly created files on Salesforce inside your organization. This functionality is available if you have the active 'Subscribe' button in the 'Project metadata components' for this metadata type. It looks through the new files.
If the 'Subscribe' option is disabled, you will work only with the files which are already present in your project or which you create in the TWS.
The issue which you have got isn't a bug, but we should describe this process better.
Thank you that you brought this to our attention.