Well I could be wrong here, so insert your favorite disclaimer.
When you connect to H2H, your not connected to HTC servers. True you do connect briefly to the HTC password server when you start. But thats it.
In order for skins to download, you have to be in a HTC arena. And it takes quite a while to get them all.
Good news is I think you can manually load them in H2H or offline.
Course I'm not sure anyone else would see them but you would.
