Skipping is disabled by default, but you can enable it from the account settings under Manage => Settings.
The Skip action will skip the lead and put it to the end of the queue or reschedule for the selected follow-up time, without changing the state of the lead.
The sole purpose of skipping is to move the lead away from the top of the queue so you can move on in your queue without taking action on that lead. This can be useful in some situations, but be careful not to use it for fishing leads! Your productivity will deteriorate.
In general, we strongly recommend using the Call Back action, even when you don't reach the lead.