Skip-breathing is briefly holding your breath between inhales / exhales. Theoretically, it could cause hypercapnia, or excess carbon dioxide in your blood. Serious complications from skip-breathing seem unlikely, nevertheless it is a bad habit that should be avoided. Why would someone do it?
Sometimes we do things without even thinking about it. Any habit formed during basic certification could easily persist without any conscious effort. Force yourself to become conscious and it won't take long to break the habit.
Trying to save air
The less you actively breathe the less air you use, right? Wrong. Holding your breath, even momentarily, raises the amount of carbon dioxide in your body, which requires more oxygen to flush. The net effect is that any savings in air usage are cancelled, or become negligible.
Trying to control buoyancy
I'm guilty of this one, especially during fin pivot exercises. Fine tuning your buoyancy through breath control is natural, and expected. However, breath control does not equal breath holding. Rather than holding your breath, practice achieving the same effect through shallower breathing.
Slow, controlled breathing is best, while any form of breath holding, even skip-breathing, is not recommended. Try to keep your breathing non-stop throughout, and watch how quickly good habits are formed.