That is correct, the hole option is just a hole, no copper pad. Assuming you want to connect a wire (as opposed to a component of some kind) to your hole, a connector out of core parts set to 1 pin via inspector should do what you want. It will create a pad in pcb with a .039 (suitable for a .1 connector or a piece of wire) hole and a surrounding copper pad which you can route traces to in pcb and appear as a connector in schematic and breadboard view. A via is also an option but the hole is much smaller and may not have enough room for a wire.
Peter