RadSkinManager currently works only with embedded skins. If you want to be able to choose from embedded and custom skins simultaneously, you will have to use a "generic" dropdown control instead of RadSkinManager - for example RadComboBox. Of course, if you choose a custom skin from the dropdown, you will have to set EnableEmbeddedSkins="false" to all affected RadControls.
Here is a blog post that you can use as a starting point:
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