Skype is a Peer-to-Peer (P2P) application. This means that it connects to a wide variety of IP addresses dynamically in order to establish a connection from one point to another.
Because of this, Skype may sometimes connect to IP addresses that are also known for hosting malicious content such as malware. For this reason, Malwarebytes Anti-Malware may block such connections, though this should not affect your usage of Skype or the quality of communication through Skype itself.
If the notifications occur frequently and you wish to disable them while still allowing Malwarebytes Anti-Malware to continue protecting your PC by blocking the malicious websites, then you may do the following:
Open Malwarebytes Anti-Malware and access the Protection tab
Uncheck the box next to Show tooltip balloon when malicious website is blocked.