When you click "Back" in the Mods menu, you are uninstalling the mods you just tried to install. After selecting your mods, click "Single Player" at the top of the screen that shows "Mods in use" to proceed forward to game setup.
Note that most scenario mods require that you select the scenario on the game setup menu through the Map Type menu item (most use a custom map). For example, the "Napoleonic Scenario 1796" mod uses the "Napoleonic Scenario v15 BNW" map type, found under the "Additional Maps" submenu. Also, some scenario mods do not put the required map in the right folder, which may cause some frustration. Usually that is flagged (and a solution provided) in the comments on the Steam Workshop entry for that mod.