At the moment, Skype doesn't have the features that Messenger has, but they'll be importing them soon ( picture sharing, etc. ).
By logging in with your Live account, all the contacts will be imported, so you don't have to worry about that. Everyone will be still able to talk to you, you just can't share pictures atm with the people that are logged in with Skype.
For me personally, this idea of using Skype instead of Live Messenger is a bit uncomfortable, because i've never actually used Skype in my life and it takes time to get used to it.
Read more in Skype official blog.