I was wondering if anyone knows if there is a penalty for skipping conversations?
The only penalty I can think of is the potential loss of 'social points' from a non-conformant choice of dialogue in group quests or encounters. Technically, it's a toss-up anyway, but, without the proper context.. you may not get a full grasp of the choice you make.
Other than that, there's no harm, aside from the loss of story. Which is pretty significant as it is!