The skimmer usually takes 3-4 weeks to break in. During this period, the skimmer may or may not collect. It will act erratically. After the 4th week, you can start slowly closing the wedge valve to increase the head (froth) of the skimmer and start to push it higher so it overflows into the collection cup. This process should be done over the period of a couple of weeks and not just in a day or so. If you do it too fast, you will end up overflowing the skimmer.
With that said, please also make sure that the top end of the air hose that is inside the wedge valve (red pipe) is not attached to the wedge valve's cap. The hose should be threaded inside the wedge valve upwards but not attached to anything at the top. The cap should be placed on the wedge valve without attaching it to the air hose. If you do attach it to the air hose, you are technically plugging the air hose which will choke the skimmer and prevent it from working.
Let me know if you have any other questions.