Skim is a PDF reader based on the same Apple PDFKit framework as Apple's built-in Preview application. If you right-click on the Skim application and choose just Open, a verification progress bar will appear, and you may be told it is a third-party application and to Open it. Click Open.
However, with some applications, this does not work and it will tell you it cannot open it. Don't cancel, but do visit System Preferences > Security & Privacy > General panel. You should see in the Allow apps downloaded from section, that Skim appears there, and you can click open anyway. Once you have done that, the application will work as expected, or should.
Vim is a text editor and has nothing to do with viewing PDF. I suggest that you launch vim, and then do the following:
:help gx
That will provide the documentation that you need allowing you to configure your .vimrc/.gvimrc so you can hover your cursor over a PDF file name in a text document and open that PDF externally in either Skim, Preview, or Adobe Acrobat Reader. This can be used for other file types whose names may appear in a textual context.