Yes that because your piano-roll, must be bound to a song-editor segment
So the correct way to get into piano-roll is to
1) In song-editor : Click in the segment, where you want your notes to start -That will result in a light-grey segment
2) Double-click that segment -That will open a piano-roll bound the your segment, and all notes you enter in the segment, will be played at that song-editor position
Btw - Have i recommended my 'Rookie-guide'
https://www.youtube.com/watch?v=hcUCFfQ3wn8
I go through several of these type of basal use-cases :)