Skyline does not have an easy way to export the modification sites like that.
There is an Issue open on this which I am supposed to implement a fix for:
Can you tell me what sort of output you'd like to see?
In the Document Grid, I imagine each Protein row would have a "Modified Sites" column which would be a comma separated list of amino acid codes and position in the amino acid. Or, maybe we should have a column at the Peptide level which shows the modifications for that peptide.
If you want to see which amino acids are modified in a peptide, there is a column called "Peptide Modified Sequence" which will show the peptide sequence with modifications in square brackets (e.g. "PEPTIDEC[+57]K") but there's nothing that makes it easy to find out which positions in the protein are modified.
It would be helpful if you could send me a Skyline document with a lot of examples of peptides and proteins where you would like to see this value. It's always helpful to be looking at a user's real world data when we are designing a feature like this.
In Skyline you can use the menu item:
File > Share
to create a .zip file containing your Skyline document and supporting files including extracted chromatograms and spectral libraries.
If that .zip file is less than 50MB you can attach it to this support request.
Otherwise, you can upload it here: