This happens depending on the orientation of the planes and the sketches themselves. In the screen shot you are showing in the dialog box are options for alignment. 1 thing I have done to alleviate this is let the weldment finish its skewing and then edit the profile of the weldment to assess what angle needs to be applied to the skew to bring it back into true.
When dealing with non planar surfaces and trying to create a welded item I will sometimes create 1 or 2 planes to create a flat true weldment then use the trim/extend command to bring them into contact with the non-planar surfaces.
Hope this helps.