That pos of a game is made with this engine using the exact same setting you used.
You probably have the collision generation pannel hidden. Try looking up your window options to bring it up.
Also you do have simple collision (the green halo) it could maybe stand to be thicker. But its there.
That’s good enough that if you set the mesh to the right channel things will just work.
Collapse primitives (since its good to go), you should see channels and other options in there.