The sample website is a great way to learn MODx indeed, since it provides examples of how you can build templates and use tags, take advantage of snippets and plugin to build a menu, display news... etc.
MODx does not belong to the YAPS (Yet Another Portal System -> Ryan invented this one) category. It’s not a "black box" as Joomla might be, where you can afford to "click and install" your way into adding features, but you’re not supposed to look under the hood and can’t (easily) customize.
MODx is build upon the opposite logic : the "flexibility principle", and that can make it hard to understand at first. Especially if you start from scratch ! Installing an addon won’t do anything by itself, you have to learn to use tags in templates, use snippet parameters, understand the power of using chunks as templates for addons output... etc.
You’re right emphasizing to newcomers that it’s important to start with the sample data.
And no, you’re not an idiot, just used to something else and suffered from making assumptions which would generally have been right but not in MODx’s case...
I am pretty sure you’ll enjoy this new freedom