CYA is acidic. A lump of granular CYA sitting in the skimmer, or in a pipe, or in the bottom of the filter, can easily take the water around it down to a pH of ~4.5. That's not catastrophic, but it's not good either. The sock method ensures that the CYA dissolves to a fine enough extent that the particulates of CYA will tend to stay suspended in solution as it slowly dissolves and disperses. The best place to put a sock full of CYA is not in the skimmer but in front of a pool return (usually hung there by some kludge of PVC or sticks) as having a large volume of fresh pool water around it allows it to dissolve quicker. Sitting inside a skimmer is a less optimal choice of locale (although I have done it to be totally honest). You can even float the sock in a blue chlorine puck floater if you happen to have one.
Easiest thing to do is to cut up a pair of old nylons and use that as the sock to hold the CYA. Works great.