Well, all this can be true, but I made a model of a window at the same way, and this model has 4 skins and react on the material as I espected.
But I will delete one skin and see what happens.

Edit: I have found the problem, for some reason WED has saved the model also in the folder where the level is and used this model, while I have all my models in a different folder. So when I change something in a model, it did ofcourse not affect the model in the level directory.