A missing hosts file entry could mean that the host file is locked. This is most often due to a security setting or possibly some kind of antivirus setting.
Take a look at this help doc which is geared towards Windows, though the ideas should be similar for all operating systems:
As @MartinB mentions, using the localhost Router Mode under the “Preferences > Advanced” menu is an option, though there are limitations to using Local with this setting. For more details, see this help doc on Local’s Router Mode setting: