I cannot find it anywhere in Salesforce Help Docs. The only information, when it comes to limitations, is regarding searching for already created skills (from Create Skills for Skill-Based Routing):
When agents search for skills, the search process looks for matching skills within only the first 2,000 skills. If more than 2,000 skills are set up, then the search results show matching skills from only the first 2,000 skills that were created.