From what I understand because the Skype client in already behind the firewall it has an established connection already and this is why it can work thought firewalls and NAT. Just like your messengers or any other client side connection software. Skype is not tricking your firewall it is just keeping a path open. Now it could be jumping around on random outbound ports to lessen the chance of Man-in-the-middle-attacks being able to collect passwords or record the calls. A lot of different software dose established connections to have a path from a privet network to there servers. This is the idea behind a lot of Trojan horses because with a firewall set to "default deny" or "explicit deny" it will only allow established connections to pass. The biggest issue with all the different client messageing/voip software is that there can be all kinds of Trojan like activity and you might not know till it's too late. I would say just keep you eye out and make sure to only use software you trust.
(sorry if I got to far off topic)
CISSP, CCSE, CCNA, CCAI, Network+, Security+, JNCIA, & MCP