That is strange.
It might be that something was wrong with the internet and if you try this again it will succeed.
Do you have an IT department that might somehow be interfering with files that your computer tries to download?
The R script that Skyline is running to install these packages is here:
https://raw.githubusercontent.com/ProteoWizard/pwiz/master/pwiz_tools/Skyline/Executables/Tools/MSstats/tool-inf/InstallPackages.r
If you know how to use R you can run R version 4.2.2 and execute that script. If you are able to successfully run that script yourself then Skyline will notice that all of the necessary packages are installed and Skyline will not need to run that script when installing the MSstats external tool.
It is important that you user R version 4.2.2 to do this (you might have multiple versions of R installed on your computer) because that is the version that MSstats uses and so that's where the packages need to be installed.
-- Nick