If you are referring to a .skim file, that’s a custom file format. EagleFiler displays it using the Quick Look plug-in provided by Skim, which is why it doesn’t support highlighting. It’s possible that in the future EagleFiler could provide its own viewer for .skim files and then it would be able to implement highlighting.
Yes, what’s happening here is that EagleFiler tells Skim to open the .skim file. But Skim is written to interpret that as opening the adjacent PDF file.
Another option, depending on what you’re trying to do, is to use the PDF Bundle format in Skim. Then the PDF and notes will be kept together and treated as a single unit.