Hey Diana, I'm not sure if this meets your needs, but my reports show only filtered skills when I add "Skills" as related data.
For example, given this user:
...these report filters:
...and these columns:
...I get a report that displays the following results:
In other words, we filter by <User>.<Skills>.Name instead of <User>.Skills. Obviously, that doesn't help if you're looking for some other related item as well, but it may serve as a workaround :)