re: "I have just done my first job for a fixed price but I have no money on my milestone so I can't request the payment... Can they just not pay me??"
If you worked on a milestone without the milestone being fully funded, then you made a mistake.
That is okay. New people make mistakes. Just learn from your mistakes and move on.
It is completely up to the client's discretion whether or not she pays you or not. In theory, she could set up a fixed-price contract with a funded milestone, and then release the money to you. Or she could pay you through Upwork's bonus payment tool. But there is no way to force her to pay you.
Of course, if you did not already submit the work to her, then it would be very easy to ask her to to set up a funded milestone so that you can use the "Submit Work / Release Payment" button.
Jade, in addition to the lesson you've learned with this client, also keep this in mind: clients can edit the amount of a funded milestone before they release it. So, for instance, they could have a milestone funded for $300. You do $300 worth of work, submit it, and they decide to release $10. The rest does remain in escrow, but if they go MIA it will be a pain to get the rest of your money.