Hi Diego,
The symptom you describe makes me think it probably is updating the database but the site settings cache is not being cleared so it still does not show it in the UI.
If you recycle the app after changing the skin do you then see the correct skin?
I would try deleting the files under /Data/Sites/[SiteID]/systemfiles
as long as the folder is writable those files should come back on their own, those are the cache dependency files and touching those files is what clears the cache, recycling the app also clears the cache.
Hope that helps,
Joe