I think is a bug of Skype.. I have MSN and other programs working with HTTP proxy.. I have enviroment variables http_proxy and https_proxy set correctly (I need that for run APT too) and all ok.. but Skype only shows "Connecting"... I also put Windows configuration files (shared.xml and also tried with user conf) (same proxy, same configuration) cause in Windows works but.. nothing... same result.
In Skype FAQ for Linux the answer of proxy configuration is only "set http_proxy enviroment variables"....
I think Skype has a bug with proxy configuration
And also I think we must wait a lot of time for a new release of Skype for Linux :-(