I couldn't see the "not on Wikidata" button that was mentioned in the
manual in any of the modes. Has it been removed? It would be useful to
be able to mark that something is not (yet) in Wikidata, though I
suppose it could be added by someone else at any time, so this type of
information may become obsolete over time.
That was indeed removed, as it takes a long time to finish large catalogs (years), and by that time new items may have been created, so all the "not in Wikidata" entries have to be checked again.
My official policy now is to create a new item if one does not exist; the fact that there is an entry in a (good) third-party catalog alone makes them notable on Wikidata, but villages and lakes etc. are also notable by default.