You should go to:
Tools > Options
and on the "Koina" tab, choose something in both the "Intensity model" and "iRT model" dropdowns.

For privacy reasons, Skyline will not send your peptide sequences to the Koina server until you choose something in the Tools > Options dialog.

There are some places where Skyline will give you the helpful message "Koina is not properly configured. Would you like to change Koina settings now?" but it looks like that message is missing when you do "File > Search > EncyclopeDIA Search..."
-- Nick

Excellent. Thank you, Nick!