I think you've misunderstood what they mean by "third party".
When they say that you can't withdraw funds to a third-party, they're complying with the international anti-money-laundering regulations imposed on them by law and regulators. The "thirdy party", in this context, isn't Skrill: it's the person whose Skrill account you (unfortunately) used to deposit the funds.
They're not allowed to let the initial funds be withdrawn in a different way from the way in which they were deposited, but they're also not allowed to pay funds out of your account to anyone other than you.
This problem has arisen because they didn't check the source of the funds "on the way in" (maybe because they're a bad broker - I don't know), but they do still have a legal obligation to check them on the way out. Awkward, and unpleasant, in the circumstances.
I hope you manage to resolve it with them. It should be possible, if they're honest, but it's probably going to incur some documents and delays, and maybe a signed statement from the person whose Skrill account you used, to deposit the funds in the first place. Good luck!
For future reference, Skrill is a very bad way to pay funds in and out of brokerage accounts: all it does is incur additional delays, cost and problems. Here's the thing: you can't trade forex and receive the profits without having a bank account, and the quickest and cheapest way to do this is directly to/from your bank account. If the bank charges fees for this, you're going to have to pay them at some stage anyway, to bank your profits. It's the unnecessary third-party intermediary that causes the additional problems.
"Using other people's accounts" is never a good idea: usually, it breaches all kinds of small-print regulations (which most people don't read) and in reality it often leads to problems.
Sorry, I know it's not what you wanted to hear :8: but I'm afraid "it is what it is".