OK so I now see direct.sponsor showing Skype status: Online twice and echo123 as offline.
The Echo123 test service will always show offline on the web even though it appears online to you when you add the service to your contacts. See http://mystatus.skype.com/echo123.txt ... They clearly did not check the option 'Allow my status to be shown on the web' under their Skype clients Privacy settings ;)
Anyway, direct.sponsor seems to work fine and I do not see much of a delay in page load. The difference between the user pages and some of the normal pages seems to be about 300-400ms on average. At least as far as I could see just now.
The status of Unknown might appear when there is an error (usually a timeout) when trying to query the Skype server. You can change that text on the Skype Online Status settings page under Advanced Options > Custom status texts > Error (none) ... Sadly, I cannot force the Skype server to respond. Increasing the timeout might help but it will also increase page load :(
I have considered moving away from querying the Skype server on page load and replacing it with an ajax call but implementing that will take some time. Which I cannot spare at the moment, I'm afraid...