This section is under re-work, as it's indeed not user friendly enough. The problem is exactly what you described, and that it is not possible to just choose all future terms (which are not yet created). I'm working on a solution to fix this in the next update.
Until then, you can actually make a modification for the terms, which does not have posts to appear on the left side of the list by making a change to one of the files. Open up the wp-content\plugins\ajax-search-pro\backend\settings\class\customtaxonomytermsel.class.php file and change it's contents to contents on this url: https://goo.gl/hojp5Y
That should allow to display the missing terms in the list. In the future update I will also implement an option to be able to choose “All terms from taxonomy” so all future terms will be automatically added.Best,
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