Privacy Badger (as most other extensions) only works on web pages, not special browser or extension pages. Try browsing to a site and then see what Privacy Badger finds and blocks there.
Sorry this wasn't more clear. We'll try to clear this up for the next Privacy Badger update:
To get help with Privacy Badger in the future, please visit our GitHub issue tracker at https://github.com/EFForg/privacybadger/issues, or email email@example.com