It appears that there is a bug in Skyline where if you have any explicit modifications on your peptide (e.g. you added the "Oxidiation (M)" modification using the "Modify Peptide" dialog), then there is no way to apply one of your neutral-loss-only modifications (e.g. "Water Loss (D, E, S, T)" to the peptide.
We are going to try to figure out a way to fix this. I would expect a fix for this to appear in an upcoming release of Skyline-Daily in a few weeks.