Hi David - I do not know why that occurs -what version of dnn are you using? Does this occur when try to preview a skin at the page setting or the actual skin section of the website?
Or are you talking about the differences in how packaging skins works and they do not always appear in the dropdown menu together - you might want to look at my skinning videos here - http://www.dnnskins.com/news.aspx
and review the behaviour of how it works. It may not be you or the skin.