I have played Destiny 1 on the Ps4 and just got Destiny 2. All my characters are still on the 1st game. When I choose the Cross Save feature in Destiny 2, it says “This Playstation account does not have any characters.”
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The only thing that transfered from d1 if you met certain requirements were what your characters looked like. Nothing in your vault, emblems, emotes, ect transfered. If you didnt meet these requirements you have to make new characters.
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Cross save is only for Destiny 2. Unless you open D2 on that Playstation account you won't have any D2 characters on it. D1 characters are separate from D2 characters and the message you are receiving is entirely related to D2 characters.