Hi, Fernando.
You did not miss a step; this behavior is by design to help keep things simplified and focused on adding the physics bodies. That said, you can certainly adjust the physics bodies to be more precise to the underlying asset, which might be worth doing in a production environment. It really all depends on the asset and the game’s design whether or not that level of detail is even required. In other words, how precise does it need to be?
Thanks for asking the question, though. I think it might make sense to add a note about this so that other readers won’t feel like they’ve missed a step.