One way to make sure that your document contains all of the necessary modification definitions is to go to:
Settings > Peptide Settings > Modifications
You can use the "Edit List" button next to the Structural Modifications list box to add new modifications to your document.

If you would like to learn more about explicit, implicit, and variable modifications in Skyline you might find this webinar helpful:
http://skyline.ms/webinar10.url

The "Add Modification" button during the Import Peptide Search wizard is an alternative way to add modifications to your document. It sounds like that button is giving you an unhelpful error message, so I imagine that things will go better if you add the modifications that you are going to need before you use the "File > Import > Peptide Search" menu item.
-- Nick

Hello Nick,

I did the modification settings in Peptide Settings menu. When i go back to these settings, all right, they are preserved.

I launched the pepXML batch import and in the Add Modification window, I checked the Oxidation modification. After the process ended, I went back to Peptide Settings but Oxidation modification were unchecked.

I should perform a new try without checking Oxidation during import process ... but I remain quite confused.

I do not see meanwhile a new tip, I will do this new try and report.

Thank you.

I am not sure I understand your question.

Can you send me your Skyline document?
In Skyline you can use the menu item:
File > Share
to create a .zip file containing your Skyline document and supporting files including spectral libraries.
If that .zip file is less than 50MB you can attach it to this support request. You can upload larger files here:
https://skyline.ms/files.url

The menu item:
File > Import > Peptide Search
can be used to either create a spectral library from peptide search results, or it can be used to tell Skyline to perform a peptide search using MSAmanda, MSFragger, or MSGF+.

If you are creating a spectral library from existing peptide search results, it is not that important to be accurate about the list of modifications that you know about, since you can always fix that list later.
If you are performing a peptide search then you would need to make sure to specify all of the modifications that you care about ahead of time, since that affects what modified peptide sequences would actually be found.

The spectral libraries that Skyline creates never contain the actual names of the modifications. Only the masses of the modifications are stored in the .blib files.
You can look at what is in the spectral libraries by using the menu item:
View > Spectral Libraries

When you bring up the Spectral Library Explorer, Skyline will tell you if Skyline sees any modifications in the library whose mass cannot be explained by the modifications that Skyline knows about.
-- Nick