There shouldn't be an issue with this. I just tried it on my end and it seemed to work fine for me. You can find attached the page I used for testing. You can also check out our live demos where you can change the skins of the controls.
Note that if you attempt to change a skin during a partial postback the needed stylesheets may not be properly registered because of the way MS AJAX works. Can you confirm this is not your case? To alleviate it you can try setting the EnableAjaxSkinRendering property of the control to true when you change its skin.
I also advise that you look for errors during the request that may prevent it from returning as expected.
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