Both use the same underlying technology (XMPP) and both know how to use the protocol, but it's still very hard to pull off at this scale once you allow multiple devices to login with the same account.
Skype just has vastly more features, that's why they have these synchronisation issues.
Since when does Skype use XMPP? AFAIK, it uses a closed protocol. It appears that Whatsapp does indeed use XMPP under the hood, though.
As for Skype, it's absolutely terrible at handling multiple devices. It would get much better if the app phoned home when a given message arrived on a Skype client with a focused window, in order to prevent/cancel already existing alerts on other devices.
With MS' Lync at work, if I forget to signout on my phone, a few times a day, my phone grabs an inbound message that never shows up on my desktop, and I totally miss the conversation. Skype has a lot of similar issues, and it's painful at best.
What I REALLY want is something for the workplace to kill Lync...