This should be a bug in Skype if anything, it should conform to normal phone interfaces. I've had the same problem in the past. I think you're likely using Sky

This should be a bug in Skype if anything, it should conform to normal phone interfaces. I've had the same problem in the past. I think you're likely using Skype on iOS and typing numbers for the menu on the iOS phone virtual keyboard. Instead, you should do it in the Skype app -- the phone menu ones don't work.