I believe when you get the message "Importing the FASTA did not create any target proteins." during an Import Peptide Search like that, what it usually means is that the peptide search engine did not find any peptides. It might also mean that some peptides were found, but those peptides are not in the FASTA file that you provided (which could happen if you had provided two separate FASTA files on the "Import FASTA" page of the Import Peptide Search wizard: one FASTA with what to search for, and a different FASTA for what to add to the Skyline document).
If you want to see which peptides were found by the peptide search engine, you can click the Cancel button in the Import Peptide Search wizard.
After you have cancelled the wizard you can use the menu item:
View > Spectral Libraries
to see what peptides were found.
If there are any peptides in the spectral library, then that means that the peptide search engine did detect peptides. You can add those peptides to your document using the "Add All" button in the Spectral Library Explorer.
After you see which peptides were found by your peptide search engine, you might be able to figure out why they are not in your FASTA.
If you need help figuring out why peptides were not detected by the peptide search engine you would need to send us all your files and we might be able to figure out what is going wrong. You could package everything you want us to look at into a .zip file and upload it here: