I deleted my .xmms directory and relaunched xmms and /usr/share/XMMS/Skins is correctly added in the directories list. I closed and relaunched xmms and /usr/share/XMMS/Skins was still in the directory list (I check the config file as well).
So there's no more bug, the problem I think is that this directory is only added if no config file exists, so a user who has .xmms/config file before would never have /usr/share/XMMS/Skins automatically in his directory path.
I deleted my .xmms directory and relaunched xmms and /usr/share/ XMMS/Skins is correctly added in the directories list. I closed and relaunched xmms and /usr/share/ XMMS/Skins was still in the directory list (I check the config file as well).
So there's no more bug, the problem I think is that this directory is only added if no config file exists, so a user who has .xmms/config file before would never have /usr/share/ XMMS/Skins automatically in his directory path.