this is because when you first create the figure via plotly.express it only contains one trace. By default plotly only shows the traces in the legend if there is are at least 2 traces. For the first trace the showlegend attribute is automatically set to False.
For the add_scatter() method on the other hand the the showlegend attribute is automatically set to True for the new trace since adding a trace implies at least 2 trace are present. But the first trace properties are unchanged, hence the lack of legend entry.