I know why you are confused and have made a small tutorial that explains what's (not) happening :-)
(1) You are loading a big, strong steel rod (weighing 20 kg) with a very small axial force (2) of 100 N (equal to a 10 kg pull). This results in a very small load on the material (3) shown by the blue color (von Mieses stress). And the Factor of Safety (4) is HUGE=20633.
This image shows the tiny max load of .008 N/mm^2. The material can handle a strength of 620.000 N/mm^2 before it deforms permanently; i.e. a 77 million times greater load.
The blue color is a direct indication of the actual load on the model. It is blue because blue indicates low stress. If you want to see more colors you have to crank up the load. That rod can handle many tons of pull before anything significant happens, so your should increase the load to millions of Newtons.
The Factor of Safety is a figure that tells how likely your part is to fail, i.e. how much stress can it take compared to normal load. By changing the value of the box and clicking the button, you see red color appearing everywhere the model's FOS is below the value in the box. This tells you where the part will fail if overloaded. So in this case you don't see anything unless you raise the load OR put in a value of more than 20633.
You could use this information to remove material that doesn't contribute to the parts strength in order to minimize its mass (lightweighing).