Catalyst can be pretty misleading on the subject of component skinning.

"Convert Artwork to Component" kinda implies that it's gonna convert your artwork to a component. Looking at the code reveals that's exactly what it doesn't do. In fact what it does is convert the artwork to a "spark" skin class. As far as I can tell the only way in Catalyst CS5 to actually create a component is when you "Convert Artwork" to a "Custom/Generic Component". In this case it converts the artwork to a stateful component (and doesn't create a skin). All very misleading.