Many athletes have attested to the fact that steroids improve endurance and aid recovery in training. Not only do you put on more muscle for doing the same squat, you can increase the average number of squats you do (increase the number of reps). Being able to work more frequently and for longer hours during training or the off-season is often cited as one of the main incentives for PED use by athletes.
However, training isn't only used for getting stronger and faster, or improving cardio. Training is the primary means of improving skill; if you're able to train more hours in a day, or more days in a week, practicing techniques beyond the point where your body would normally be exhausted, you're obviously going to get better at executing moves in a combat or sport situation. Athletes who've used PEDs have said as much.
So it's not entirely true that PEDs don't improve skill. They can, to a certain extent.
I mean, duh. The most obvious benefit of steroids is that you can continue gaining muscle while working on cardio and endurance, which is extremely hard to upkeep when you aren't using PEDs. It's why you see cardio machines like the Diaz brothers, Cain, etc not being insanely jacked, whereas Hector Lombard post-PEDs is wheezing after throwing two punches, yet before PEDs he was keeping pace with a cardio machine like Shlemenko (who we later learned also used PEDs at one point).
I think the point people make is that these guys are top tier, gifted athletes who are just about as skilled as they're ever going to be, barring some minor improvements. Having the ability to train a little bit longer isn't going to create this giant skill gap when these guys are already the top of the top. Think of it like those stat allowances in sport video games, where the athlete is ranked for speed, power, etc on a 1-100 scale, 100 being their absolute max possible for their body. Take someone like Jones, who's like a 90-99 in almost everything, from physical ability to technical ability, even without PEDs; are those couple points going to really make that much of a difference against someone else on a similar level? There's a difference between that and a guy who's pretty well skilled technically, like a 75, but has shit for athleticism, like a 40-50. Give that guy PEDs and his physical attributes are going to shoot up to 80+ for an immense gain in athleticism, and a few minor gains in technical ability. The overall physical gain that guy gets is immensely more important than the minimal skill gain he might get.
I know the analogy is a little contrived, I can't think of a better way to describe it though. The skills allotted from a little bit of extra training are very minimal; it's more the ability of PEDs to allow an average athletic guy to perform, at least physically, at a professional level. It doesn't make them as skilled as elite professionals, however, and the only reason you see these tops guys using them is because they are so dedicated to. and obsessed with, winning that they'll risk anything for even a tiny advantage. It's not really the actual benefits, but their insane winning mentality.