$\newcommand{\C}{\mathcal{C}}$ $\newcommand{\D}{\mathcal{D}}$ $\newcommand{\A}{\mathcal{A}}$ $\newcommand{\S}{\mathcal{S}}$ $\newcommand{\Psh}{\mathrm{Psh}}$ $\newcommand{\Lan}{\mathrm{Lan}}$ $\newcommand{\Hom}{\mathrm{Hom}}$ $\newcommand{\Set}{\mathbf{Set}}$ $\newcommand{\yo}{\mathscr{Y}}$
If $\A$ is any category, I'll write $\yo_\A : \A \rightarrow \Psh(\A)$ the Yoneda embedding.
Let $\C$ be a small category, $\D$ be any category, and $F : \C \rightarrow \D$ be fully faithful.
Then if I define $F_1 : \Psh(\C) \rightarrow \Psh(\D)$ by the formula~:
$$ F_1 = \Lan_{\yo_\C}(\yo_\D \circ F) $$
i.e. for $A \in \Psh(\C)$~:
$$ F_1 A = \int^{c \in \C} \Hom(\yo_\C c, A) \otimes \yo_D F c = \int^{c \in \C} Ac \otimes \yo_D F c $$
and similarly $F_2 : \Psh(\Psh(\C)) \rightarrow \Psh(\Psh(\D))$ by the formula~:
$$ F_2 = \Lan_{\yo_{\Psh(\C)}\circ\yo_\C}(\yo_{\Psh(D)}\circ \yo_\D \circ F) $$
i.e. for $A \in \Psh(\Psh(\C))$~:
$$ F_2 A = \int^{c \in \C} \Hom(\yo_{\Psh(\C)} \yo_\C c, A) \otimes \yo_{\Psh(D)} \yo_D F c = \int^{c \in \C} A \yo_\C c \otimes \yo_{\Psh(D)} \yo_D F c $$
Now my question is the following : are $F_1$ and $F_2$ fully faithful ???
I seem to have a positive answer for $F_1$. Indeed :
\begin{align*} \Hom_{\Psh(\D)}(F_1 A, F_1 B) & = \int_{c\in \C} \Hom_{\Psh(\D)} \left (Ac \otimes \yo_\D Fc , F_1 B \right ) \\ & = \int_{c\in \C} \Hom_{\Set} \left (Ac, \Hom_{\Psh(\D)}(\yo_\D Fc, F_1 B ) \right) \\ & \overset{\text{Yoneda}}{=} \int_{c\in \C} \Hom_{\Set} \left (A(c), (F_1 B) F c \right) \\ & = \Hom_{\Psh(\C)}(A, F_1 B \circ F ) \end{align*}
Moreover for every $a \in \C$:
\begin{align*} (F_1 B \circ F) a & = \int^{c \in \C} Bc \otimes \yo_{\D} Fc (Fa) \\ & = \int^{c \in \C} B(c) \otimes \Hom_{\D}(Fa,Fc). \\ & = \int^{c \in \C} B(c) \otimes \Hom_{\D}(a,c) \overset{\text{Ninja Yoneda}}{=} B(a). \end{align*}
So $ F_1 B \circ F = B$, and thus~:
$$ \Hom_{\Psh(\D)}(F_1 A, F_1 B) = \Hom_{\Psh(\C)}(A, B). $$
So $F_1$ is fully faithful. If I try to do the exact same proof with $F_2$, I seem to obtain in the end~:
$$ \Hom_{\Psh(\Psh(\D))}(F_2 A, F_2 B) = \Hom_{\Psh(\C)} (A\circ \yo_\C , B \circ \yo_\C). $$
so I guess it's not fully faithful ??? But it's kinda weird, because in the case where $\Psh(\mathcal{A})$ is taken to mean $[\A:\S]$ for a certain small category $\S$, and if we have a functor $\yo'_\A : \A \rightarrow [\A:\S]$,then we certainly have (don't we ? I'm a bit confused) :
$$ \Lan_{\yo'_{\Psh(\C)}\circ \yo'_{\C}}(\yo'_{\Psh(\D)}\circ\yo'_{\D}\circ F) = \Lan_{\yo'_{\Psh(\C)}}(\yo'_{\Psh(\D)}\circ \Lan_{\yo'_{\C}}(\yo'_{\D}\circ F)) $$
and so if this operation sends embeddings on embeddings, it should still do so when applied twice !!! I'm surprised that such a thing could break just because $\Set$ is not small. I mean, everything has looked pretty formal. If $\C$ was a category where every Hom-set was smaller that some cardinal $\kappa$ (which happens), then up to equivalence you could replace $\Psh(C)$ by $[\C:\kappa]$ (which is small) and you still have a Yoneda embedding, for example... so it should be able to "stand" another extension !
TL;DR : If $F : \C \rightarrow \D$ is a fully faithful functor with $\C$ small, I seem to be able to define a fully faithful functor $F_1 : \Psh(\C)\rightarrow \Psh(\D)$ by Yoneda extension but the "next step" seems to fail and the simplest functor $F_2 : \Psh(\Psh(C)) \rightarrow \Psh(\Psh(D))$ which I can define (without taking colimits not on small categories, of course !) doesn't seem to be fully faithful : why does the pattern seem to break ?
Thanks to whoever helps me out of this ^^
(EDIT : When we look at the definition for $F_2 A$, it is clear that it only depends on $A \circ \yo$ : that's probably the problem... How should I define $F_2$ ? Why does it seem to me that when everything is small there is no problem ?)
(EDIT2 : is this a MO question ? I never feel confident to ask anything there so I don't know)
You $F_1$ is just the left Kan extension along $F^\text{op}$; it is going to be fully faithful for a general fact about Kan extensions: extending along a fully faithful functor gives an isomorphism $H\cong Lan_F(HF)$, and this is the unit of the adjunction $Lan_F \dashv -\circ F$, which is invertible iff the left adjoint if full and faithful.
As for your $F_2$, it does not make sense if you don't take small presheaves (the "category" $Psh(Psh(C))$ is not a "category", because it is not locally small). :-)