SKYPE has decided to encrypt their protocol end to end, which means that it can't support the man in the middle functionality of MWG's SSL scanning technology. If you search the forum, you'll find some suggestions on how to allow SKYPE traffic through MWG, but be careful to use them, as most of the will work differently in explicit proxy vs. bridge/router mode.
If you use these techniques in transparent bridge or router mode (without creating a separate explicit proxy port and ruleset) you will be opening huge security holes in your environment.
And as noted, whether you choose to allow, block or selectively allow Skype, regardless of deployment mode, you cannot allow or block portions of the functionality like file transfer. It's all or nothing with Skype because it is not HTTP.