I have Skype on:
My Windows Phone
My Android Tablet
My College Mac
and my personal Windows 8.1 Laptop
And every time I downloaded Skype for the first time on those Devices I had to re-add my favourite contacts, They didnt automatically get added.
This seems like a fairly simple feature to implement,
We've implemented synced favorites in Skype 2.21 for Windows Phone available today: http://community.skype.com/t5/Windows-Phone/2-21-now-available-including-Photo-Sharing/td-p/3469077
Keep in mind that Skype on other devices might require an update to support this functionality as well.
Are you sure this is implemented?