Layers disappearing while using smart object

I could use some help, please. I’m just learning how to use smart objects. According to a video that accompanied the package I purchased, I should be able to double click on the smart object, paste an image onto the smart object layer, click Save, and then choose one of the “stamps” that are on different layers. However, the stamps disappear once I’ve saved the document. All I can see is 

I had this working late last week, and today, it’s not working anymore. Can something have changed? Did I perhaps change something, or am I missing an important step? I re-downloaded the package just to make sure I hadn’t done anything irreversible to the files. 

When I copy and paste, it is asking me if I want to apply the transformation before saving. Could that be a problem?

Here is a screenshot--I hope this makes sense. Thank you !