I believe the esc_url function is what ultimately filters the url you enter in that field. Unfortunately, I don’t see how you could allow the skype protocol without manually editing that function in the core file wp-includes/formatting.php, which is always a bad idea.
if ( !is_array($protocols) )
$protocols = array ('http', 'https', 'ftp', 'ftps', 'mailto', 'news', 'irc', 'gopher', 'nntp', 'feed', 'telnet', 'mms', 'rtsp', 'svn');
if ( wp_kses_bad_protocol( $url, $protocols ) != $url )
return '';
Perhaps I’ve missed something though.