If you do "Import DDA Search", then Skyline gives you a document that is set up to extract MS1 chromatograms from DDA files.
If you change your mind, and decide that you want MS2 chromatograms, then you should do the following:
1. In "Settings > Transition Settings > Filter" add "y" and maybe "b" to the list of ion types.
2. In "Settings > Transition Settings > Full Scan" change "MS/MS filtering Acquisition Method" to "DIA" and change "Isolation Scheme" to probably "Results Only".
After doing this, Skyline then will add the MS2 transitions to all of your precursors. You will see these new transitions in the Targets tree.
Edit > Manage Results > Reimport
File > Import > Results
to tell Skyline to extract chromatograms for everything.
There's a menu item "Edit > Refine > Associate Proteins" which you can use to assign all of your peptides to proteins using a FASTA file. You can use this menu item if you have done "View > Spectral Library > Add All".
When you do "File > Import > FASTA" into a blank document, Skyline gives you every protein that is in the FASTA file, because Skyline does not know about your peptide search results.
There's a button on the Start Page in Skyline "Import DIA Peptide Search". It sounds like that's the button that you should have used, if you have some DDA runs, and some DIA runs, and you want to use the DDA peptide search results to decide which peptides and transitions to use, and you want to extract chromatograms from the DIA runs.
I recommend the DIA tutorial, since I think it covers your exact scenario: