http://www.wgt.com/help.aspx#skins
It's in there.
Here's the verbage (bolded):
Skins that have been won by a player who forfeits before the last hole is finished also forfeits any skins they have won up to that point. In a Skins Challenge game, this means that the credit value of any skins won up to the point a player forfeits will not be refunded to that player. Skins games must be completed by a player in order for that player to receive credit for the skins they have won. Once again, you must complete your Skins game in order to receive credit for any skins you have won. Otherwise the value of those skins will be forfeit to WGT. We do this in order to strongly encourage players not to quit during Skins games, and prevent players from leaving games before they are finished in order to protect skins they may have won to that point.
Personally I don't like it either, nor do I care for the fact that when a player DC's, (without winning any skins) WGT takes that players skins/credits, and it is NOT up for grabs for the remaining players.