Ah yes, this one took me a bit to figure out originally. Once you gain the understanding of how Altium works as a piece of software it makes much more sense.
To generate useful schematics from Hierarchical projects you need to do a few things differently.
First Compile your design!
Second annotate your compiled schematics: Tools > Annotation > Annotate Compiled Sheets... (you can change how this behaves by using the drop down arrow, I prefer to do a breadth first annotation, but dealers choice)
Third when you generate a schematic pdf from your output job file you need to have these settings:
Data Source = [Project Physical Documents]
*Double click on the schematic output*
Then set the following (ignore the settings in the top section you care about the physical name expansion):
You need to expand designators, and the sheet number parameter. I also expand ports to make those unique.
Best of luck to you!
~Bryan