Not just the first time online for me. This is the sequence:
1) Had all but a few of the skins auto-downloaded (with a few manualy downloaded) by the time Skuzzy posted new ones on the website. The ones I'd downloaded manualy were still red the first time I played the game after downloading them.
2) Next time I play the game is when Skuzzy posted the skins.. I didn't look at the skins inside the game, but left the game to download them itself, overnight. Wake up and the game froze.. Rebooted the pc and there's more skins missing than before, even some that used to work.
3) Downloaded one skin to try and see if it works, right now, restarted the game twice, and it still doesn't work. The same skins appear to get deleted ..
4) And downloading them (just now) manualy, then opening the game offline, the skins are there.
So I guess the game is told to delete them for some reason, when it first talks to the HTC servers.