Here it depends on how you hold references to your SkeletonData assets. Regarding loading textures, normal Unity rules apply - if objects in your scene reference an asset (also indirectly, via references to assets that reference other assets), it will be loaded. You can find a brief summary on a forum thread here.
Regarding loading the animation and attachment data of a SkeletonData asset, this data will be loaded when any skeleton component is initializing with this SkeletonData asset for the first time (so e.g. when enabling a SkeletonAnimation
GameObject in an active scene). The already loaded shared animation and attachment data of a SkeletonData asset is re-used when other skeletons also use the same SkeletonData.