If you want to add a modification to a particular peptide, you should right-click on the peptide in the Targets tree and choose "Modify".
If you make an adjustment to the set of peptides for a protein in the Targets tree, Skyline will no longer automatically add and remove modified peptides based on the settings.
If you would like to learn more about working with modifications in Skyline, the following webinar is usually helpful:
https://skyline.ms/Webinar10.url
-- Nick