I have been reading the "Handling Invalid Geometries" topic in the QGIS Tutorials & Tips section, to which the link you can find here: https://www.qgistutorials.com/en/docs/3/handling_invalid_geometries.html

I followed all the points up to here:

As the algorithm runs, you will see a warning displayed in the Log tab. 1 feature in the input layer had invalid geometry and was skipped during the processing. The default setting to handle invalid geometry in the Processing Toolbox is located at Settings ‣ Options ‣ Processing ‣ General ‣ Invalid features filtering and is set to Skip (ignore) features with invalid geometries. This is a good default setting, but if your input is large, you may miss this warning and may not know that an input feature was skipped. You may want to change the value to Stop algorithm execution when a geometry is invalid.

The next step describes what should happen

Back in the main QGIS window, you will see a new layer Colored added to the Layers panel. Notice that the new layer is missing a state which had invalid geometry. We now know that this particular state polygon had invalid geometry but we don’t know what was the cause. We can easily find that out. Search for and locate the Vector geometry ‣ Check validity algorithm.

I am getting errors as they described, here is a screenshot from what I'm doing:

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But the layer does not get added to the list of layers. I'm using QGIS 3.18.0-Zurich (64bit).

For comparison I also ran Processing Tools -> Vector geometry -> Check validity, and that, after a long while, created the layer with highlighted places where geometry is flawed.

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