I tried these steps and it did work for me.
You are supposed to get a message box telling you that some of the proteins that have been added are empty. We should fix the text in the tutorial so that it tells you to expect that message box, and that you're supposed to push the "Keep" button.
The message box is supposed to say that 30 proteins will be empty (which means that 5 proteins will be non-empty). The "35" that you are seeing is unexpected.
At the beginning of the tutorial (top of page 2), it says that you should use the menu item:
Settings > Default
to reset the settings in the current document to the default values.
If you skipped that step, then I could imagine that the settings in your document might be incorrect, and you would not end up with the peptides you were supposed to.
If you send us your Skyline document, we can probably figure out what is going wrong. After you have pasted the FASTA file and things look wrong, you can use the menu item:
File > Share
to create a .zip file containing your Skyline document and supporting files including the spectral library and background proteome.
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
-- Nick