Problem with that is it's a hassle to minimize the game, load a browser, find the skin, upload it (which isn't fast anyway) then get back to the game and change to the skin. In fact, the last time I tried to upload a skin during a race it kept telling me it wasn't found on the LFSW server.
Also, sometimes you might want to change a skin because someone is using one that looks similar, or in the case of public skins, maybe the same one. Therefor to avoid confusion (and on public servers the risk of kicking/banning the wrong person if something happens) you can just pit and change. It's been said before that the wrong person has been kicked because they had a similar coloured car.
If you don't want to have to download other people's skins, disable auto-downloading - that's what the option is there for. It might not be a beauty contest, but if we weren't supposed to be able to skin the cars, the option wouldn't be there.