You will need to grant consent first. When you add an API/permission to the application object, you're basically describing what permissions your app will need in order to work correctly. To actually grant the permissions, a consent request needs to be performed. If the application is for internal consumption (your own tenant), you can grant consent directly form the same page, by hitting the "Grant admin consent for XXX" button. Do note that in most cases, you will need to have admin permissions to do so.
If the application is going to be used by other organizations (multi-tenant app), then each org will have to go over the consent process, which is presented during the initial login/adding the application. Depending on the permissions requested, an admin consent might be required. For some permissions user might be able to grant the consent themselves. For a tenant-wide consent, an option is presented during this process (requires admin permissions). For more details, read here: https://learn.microsoft.com/en-us/azure/active-directory/develop/v2-permissions-and-consent#consent-types