This module is not built by default, it should be enabled 
  with the --with-http_stub_status_module configuration 
  parameter

I had to compile Nginx myself, because that module was absent. As you can read also on various community pages, boards, etc.

Nginx is the only server software that I have to compile myself, just to get a basic status feature. It's a way to upsale people to their NginxPlus which offer a lot more status data in the binary.