I've noticed that sometimes on mine it will come on but the actual skip-shift hasn't kicked in yet. So, even though the light comes on, I can shift to any gear I want. When this has happened, I have just been getting ready to shift when the light comes on, so maybe it can come on like half a second before the skip-shift kicks in and you can beat it to the punch.
Other times though, I won't be able to shift to 2nd--have to go to 4th because the skip-shift kicked in, and there is no light on the dash lit up.
I think the skip shift is just wonky, at least on my car, in that sometimes the light on the dash is on but the skip-shift isn't engaged, and some times vice versa. The light on the dash and the actual skip feature do not always mesh. Perhaps this is the same on your car.