Doesn't do that for me...
If I skip again whilst cross-fading during a skip, it just jumps direct to the next track.
The best thing you can do is reset settings, set just the cross-fade on again, then test it again.
I recently had some problems with high bitrate oggs skipping that never had that behaviour before. I reset settings and loaded up a known good config and the problem went away. I still don't know what the problem was, but I'm happy!