You are doing nothing wrong!
If you wan to use that feature, that is the ability to save the last (up to 300) missions in IL-2/FB/PF "mis" format so that you can edit them in FMB later on, then all you have to do is enable Caching in UQMG:
- To do that go to the Tools->Played Mission Cache->Control How Many FB/PF Missions are Backed Up
Now read the dialog and pick the number of missions.
This way the last missions get saved so you can edit them in FMB later. I hope you understand the difference between those files, which are FB/PF understood files, and the "uqmg" mission data files. The uqmg files are understood by UQMG only, and allow you to manually save your mission data so you can reload UQMG with that data later to generate the mission again and play it.
To do that, use the File menu in UQMG. There are several missions there for you to load, over 300 for your enjoyment.
Please, please make sure you follow the tutorial. It is fun and you will learn all these things.
Thanks.