If I place a Wemos D1 on a breadboard, why are the connection pins of the Wemos not in contact with the breadboard pins?
Welcome to the forum.
The header pins on the D1 Mini board are set (in the part definition) as female connectors, the same as the breadboard. Female connectors will not connect directly to other female connectors, just because they are positioned on top of each other. Explicit wires are needed.
Having those as female pins means that other parts, with male connectors, will connect to the D1 Mini simply by positioning the pin/leg over the D1 Mini header pin. Just as it would if positioned over a breadboard hole. That SHOULD also allow the D1 mini shields to connect to the D1 mini by positioning them over the header pins. However, I see that does not work here. The shields have also been designed with female connectors, so they will not directly connect. Parts with male connectors placed over the shields will connect.
My opinion, and I have been doing some exploring of options (that actually work), is that the D1 Mini board should have female connectors, which it does. The shields should have male connectors. With that, a shield placed over a D1 Mini board will connect, AND any (male connector) parts placed over the pair will also connect. Fritzing will connect those directly to the D1 Mini (female connector), not to the shield (male connector), but since the shield is connected to the D1 Mini, everything works. That implies that the shields have headers, which the descriptions of the shields say is not the case. There are trade-offs between what will work “best” in Fritzing, and what matches closest to the actual physical parts.
Another option that I have explored a bit, is to have duplicated connectors on the main D1 board. One male and one female at each pin position. That way it should both connect to a breadboard, and allow shields to connect to it. But remember that exploring, and “actually work” comment above. So far, there have been issue getting tests to do “the right thing” for all cases.