Hi Ricardo,
When you are in Edit Mode, you are simply adding Vertices (and Edges and Faces) to the Mesh Object. (Add a Suzanne to the Default Cube in Edit Mode, and you'll sitll only have a Cube Object, but with the combined Vertices of the Cube and the Monkey...)
When you are in Object Mode, you add a new Object (with those Vertices, Edges and Faces). (So you now have a Cube Object and a Monkey Object...)
I know, It's confusing, but at some point in your 3D journey, it will click.
I think this video might clear things out:
https://cgcookie.com/lessons/mesh-components-and-object-origins
It's a whole beginners series you can watch. Because keep in mind, Press Start is not super beginner, it's a kinda demo to see what you can do in Blender, you kinda need previous knowledge to fully get into it this course. There's a whole series of Blender Fundamentals that is great to watch first.
Think of it like a piece of paper with information that is put into a folder. The folder is the object. The piece of paper are the data. The type of data(paper) put into the object(folder) determines what type of object it is. In the case of a mesh that is mesh data. Just like you have to open the folder to get to the paper, you have to enter edit mode to access the mesh data. So when you add in edit mode you're just adding more data to the existing data. When you add in object mode you're adding a new object with new data.
Thank you all! I'll finish the press start, do the fundamentals and I will remate this one!