It sounds like Skyline is failing to download and install R version 3.6.1.
You might have better success if you install that version of R yourself first.
You can install that version of R from here:
After you have installed R, you can ask Skyline to install the MSstats External Tool. Skyline will see that R version 3.6.1 is already installed, and Skyline will go on to the next step of the process which is to install the necessary R packages.
Let us know if you are still having problems.