HMmmmm. Me suspects it's your evox.ini file somehow. But me not sure.
Do this: Start the box, ftp over to it and copy the evox.ini file to your comp. Rename it Evox_1.ini.
Now, go select a skin. After it's been changed, copy the evox.ini file to your comp again. Rename that to Evox_2.ini.
Now, reboot the box. Cold boot. Shut it off completely and then shut it back on. Ftp over and get the evox.ini file again and call it Evox_3.ini.
Now compare the 3 files side by side, line by line. If 1 and 2 are the same, then for some reason, it's not storing your skin selection. If 1 and 3 are the same, then somehow the file is re-setting itself on shutdown.
What are the attributes of the ini file on your box? Is it writeable/read only?
How long has it been doing this?