dmgs for Mac stuff, although the Mac App Store will alleviate this to varying degrees. You will get versed with this since most things download as. Go into your Applications folder and drag the skype app to the dock (if you want - I prefer Apple - Space and just start typing what I want to launch). Now, the disk image file is still in your downloads, but you can throw that away.
Then go into the mounted skype disk image and copy the Skype app to the applications folder. Business are now in the Teams admin center. In your dock, which is where I'm assuming you launching Skype from, drag the Skype icon off (make sure it goes 'poof'). Skype on Mac asks for admin credentials when installing or upgrading Skype. Even if you eject the mounted disk image, if the disk image file is still there in your downloads, and you click the dock icon representing the app that's inside that disk image, it'll remount and launch from there, causing this issue. Or, if you did, then you not running the actual Skype app from the Applications folder but are instead running it from within the mounted disk image. What's happening is that you have not copied the Skype app from the mounted disk image into your Applications folder. dmg file (disk image) it mounts an actual disk (or that's how the Mac presents it) on your desktop, not dissimilar from attaching an external drive or sliding in a DVD. In your 'Downloads' folder (or wherever your browser downloads things to) should be something called 'Skype5.dmg' - that's a Disk Image file. That is what's called a 'Mounted Disk Image'.