I had that myself with a follow up email conversation with Skuzzy. I don't think it's right to post that as it was semiprivate email but the gist was sort of the usual with this. Anti-xxx stuff may effect it, read only setting on the file, etc.
Looking for the specific file now. What I did to get around this and have the box stay checked was to manually, or fe-manually to cover all players, is edit the file and change 0 to 1.
The file is skins.cfg and data looks like "0,DownloadSkinsEnabled". Open with notepad and change to "1,DownloadSkinsEnabled" and it will stay.