I forgot and was going to post the same last night. I get the same error when autodownloading other people's skins. Now, grant it, I'm on dialup, but I've never had a problem before other than lagging out of the server. This is on patch T5, BTW, haven't tried U yet.
I occationally try to DL skins when I enter a server if theres not too many and while I'm still in spectate mode. Usually, I jump out of the server and get them from the replay when there's many racers. Doesn't matter if its in the server or from the replay, I've been seeing this same error "SKIN: Socket closed - file name.jpg" very frequently.