The sidecar alone doesn’t collect the logs. To collect them, you must push a configuration for Winlogbeat or NXLog down to the sidecar agent. If your sidecar shows in the Graylog UI, you must assign one of the default configurations shipped to get going.
You may wish to edit the audit policies to get more events than are available with the default config.
You can have a look at this other thread ongoing for example: Graylog Sidecar doesn´t send logs