In "native" mode, launching SpeedGrade using its own type of project file (ircp) you can select an icon above the timeline to the left (hover over them and the text will tell you which) which adds a grading layer, and then extend that over as much of the timeline as you want.
However, in a Direct Link mode coming over from PrPro this option is not available. DL uses the PrPro project file, and Sg is NOT allowed to mess with the timeline details of a PrPro project ... you can't add layers, change clip lengths, add clips, none of those things.
However ... in PrPro, you can add an Adjustment Layer (by menu or project-panel lower right icon, "New Item -> Adjustment Layer") then extend that over as much of the timeline as you wish. Go over to Sg, and use that as a grading layer exactly as Sg would in "native" mode.
Yea, there's a LOT about using this in Direct Link that isn't "clear & obvious" until you've been working with it and getting referenced to look up this or that blog post from Adobe folks and others ... and such. Once one does start seeing the logic, you can start to figure it out. It would be nice if there was a GOOD Adobe explanation for how to use the program NOW ... that just isn't an example of how to use "some" features but a real discussion of the way this program is thought out by the creators so that new users had a flipping chance of doing something. This is not high on the list, sadly.
This program is amazing in what it can do, and how quickly ... once you start learning the above. For me it's the single most FUN thing to do on my computer, and ... I wish grading wasn't such a small part of my daily work, as I'd love to spend most of the day just mucking about in Sg. Sigh!