Welcome aboard to our community @SunsetRunner. I would like to know if you are seeing this information of your activity history or on your general stats. Note that your general stats will always show calories burned, even if you are not doing exercise; since it will count your BMR. So I think you are referring to the activity history where it shows 0 calories.
Logging an activity works well for those activities where step count isn't the best indicator of the calories burned. This is more helpful when you are doing an activity that does not require steps (like cycling or swimming), or an activity that requires more than just steps. The reason of this is because all steps, calories, and active minutes recorded by your tracker are overridden for the duration of a logged activity by the activity's entered values. But rest assure you are not doing anything wrong.
Hope this helps and let me know if you have more questions.
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