Some of the links on this forum allow SMF, at no cost to you, to earn a small commission when you click through and make a purchase. Let me know if you have any questions about this.
It's personal preference.
There is no right or wrong.
I prefer skinless, it cures easier and takes smoke better.
You can certainly skin it if you wish, but buying skinless is much easier.
I'm guessing that was skinned after curing? The one I did, before curing, was much tougher, and more difficult to work with. After curing, the few spots I missed came off pretty easily, just like this video.