What do you mean? If you change a level the entities get removed, so a skill wont saved...
If you made the next level in WED and you set some skills in WED, and they dont appear when that level is loaded, you probably forgot to re-build the level to include the new changes in the .wmb file.

PS.: There is an option, I think (havent used WED in a while) to only update entities... Works a LOT faster, if you dont want to wait for the whole level to be built.