Lights won’t work on dimmer
According to the manual, for a single switch (as opposed to a a 3-way switch, which would require another wire and another (ordinary, non-dimmable) 3-way switch), the configuration is very simple (ignoring grounds, which should all be connected together everywhere):


Top right screw = Black = Hot - this should go directly back to the panel
Bottom right screw = Yellow = Switched Hot - this should go to the light(s)
The "far side" of the lights goes to Neutral


With a single fixture this is straightforward:

14/2 from panel to light at the light:


Connect white (neutral) to one side of the light.
Pass black through to the next cable - it does not connect to the light.


14/2 from light to switch at the light:


Connect black hot to the first cable's black hot
Connect white (="yellow") switched hot to the other side of the light.


14/2 from light to switch at the switch:


Connect black hot to top right (= black according to the instructions)
Connect white switched hot to lower right (= yellow according to the instructions)


Note that yellow is a typical "switched hot" color (could be red or blue or anything else except black, which is traditionally hot, white &amp; gray, which are only neutral, or green, which is only ground). However, 14/2 cable only comes in black/white, so if you have the hot function in the cable then that gets black and switched hot or neutral gets white. Alternatively, if you have neutral function in the cable then that gets white and hot or switched hot gets black. So in this case, you use white as switched hot and then mark it with yellow tape to indicate that it is actually the switched hot.

This conveniently ignores that current code requires a neutral in the switch box, just in case you need it later. But hang on...

That gets one light working. But you have more than one. Now you need another wire. == 14/3.

The problem is you need to have two wires going between all the lights: switched hot and neutral. And you need another wire, not connected to any lights, for hot to get to the switch. With only one light, we cheat a little (except that neutral should be in the switch box) because there is no "carry neutral along to the next light" since there is only one light. But with multiple lights that doesn't work. So now you replace the 14/2 from the first light through all the other lights to the switch with 14/3. That 14/3 will be black/white/red. As described above, whenever possible black = hot and white = neutral. So that leaves red = switched hot. Here we go:

14/2 from panel to light at the light:


Connect white (neutral) to one side of the light.
Pass black through to the next cable - it does not connect to the light.


14/3 from first light to second light, at the first light:


Connect black hot to the previous cable's black hot
Connect white neutral to the previous cable's white neutral and to one side of the light. This actually means use a wire nut to connect the whites from the two cables plus a pigtail to the light.
Connect red switched hot to the other side of the light.


14/3 from first light to second light, at the second light:


Connect black hot to the previous cable's black hot
Connect white neutral to the previous cable's white neutral and to one side of the light. This actually means use a wire nut to connect the whites from the two cables plus a pigtail to the light.
Connect red switched hot to the previous cable's red switched hot and to the other side of the light. This actually means use a wire nut to connect the reds from the two cables plus a pigtail to the light.


All the later lights use that same setup: blacks together, whites together + light, reds together + light.

14/3 from last light to switch at the switch:


Connect black hot to top right (= black according to the instructions)
Connect red switched hot to lower right (= yellow according to the instructions)
Cap the white neutral with a wire nut


Now you have all the lights working and you have neutral in the box in case you need it in the future.