iiii1brain the Triangulate Modifier is probably working, but you just can't see the effect:
What you can do is go into Edit Mode to see the efeect, or,like in the video (the step you are missing) is to use the Wireframe shading:
Or enable the Wireframe Overlay:
Or just continue and add a Wireframe Modifier after the Triangulate Modifier. Then the triangulation will also be visible.
Spikeyxxx is correct. The cut that you see in the video is when I switched from Solid view to Wireframe view. Sorry for the confusion. You can easily switch to this view by selecting it near the top right of the screen or by pressing Z and selecting wireframe.