thanks for testing that, we are aware that if you force skype to use a proxy (socks or http) it still can connect out sooner or later. We are currently reproducing the issue and will fine tune the detection engine further.
I would think a better solution would be allow it to get through the socks proxy. At least if you set it to socks 5 it will require an authentication to use. You can than only allow the users who you want to access the socks proxy. That is how I have addressed some of the issues. Its not perfect but sure does help.
