Try this:

1. At the OmniFocus home screen, click the New Item button to add an item to the inbox.
2. At the New Inbox Item screen, type the title
3. Touch "context" and choose a context (say, Errands)
4. Touch Save to return to the OmniFocus home screen.
5. Click the Contexts folder to open it.
6. Click Errands to open it.

Shouldn't the new item I just added be listed in Errands? Wait...I just discovered that it does show up if I also assign the item to a Project. But I don't want to do that. Does every item have to be assigned to a project?