I took 4 images and dragged them to the new comp icon.
Then my settings under Transition I chose "Cross Dissovle Front and Back"
Then hit OK
I realized I want the transition "Cross Dissovlve Front Layer'
Though when I go to Comp Settings to change it, the option is not there.
Where can I change this with out creating a new comp?
The options you mention in the "New Composition from selection" dialog don't live in Composition settings. You can think of it as an automation step, which inherits Comp settings from footage items, then runs the Sequence Layers assistant (which is separate from Composition Settings).
So, in your case, there's no need to create a new Comp. You can do this:
1. Make sure timeline panel is active and Select All layers (Command+A on Mac, Control+A on Win).
2. Press T to reveal exsiting opacity keyframes. Select all these keyframes and delete them. Then set the opacity of one layer to 100 per cent, and all other selected layers will also be set to 100 per cent.
3. Go to the beginning of the timeline and press the left bracket key "[" to make all selected layers move so their In point is at the beginning of the Comp.
4. Go to Animation > Keyframe Assistant > Sequence layers, and choose the overlap/fade options you want.