That's correct; Privacy Badger doesn't block anything by default because it doesn't use a blacklist. Instead, it observes the behavior of third-party domains and blocks them based on their behavior. (So it may take a bit of normal browsing before it starts blocking things.)
Also, Privacy Badger recently transitioned from beta to 1.0, so if you last tried it more than a month or so ago, I recommend giving it another shot. And if you find bugs, please report them!
Full disclosure: I work at EFF, which makes Privacy Badger.
I might again, the show stopper bug was me attempting to repeatedly block a domain that would not remain blocked, and it was facebook related so the plugin got uninstalled.
Also, Privacy Badger recently transitioned from beta to 1.0, so if you last tried it more than a month or so ago, I recommend giving it another shot. And if you find bugs, please report them!
Full disclosure: I work at EFF, which makes Privacy Badger.