I had a similar complaint, and what I ended up doing was installing this API plugin, which allowed me to add a Skype account to Empathy. Now I get my Skype messages in a nice Empathy popup, and I disabled my skype popups. One caveat, leave the Skype popups for incoming calls, as Empathy can't handle those. At least, it can't on my Fedora install.
Note: I'm operating under the assumption that Ubuntu Empathy works somewhat similar to Fedora Empathy. Please correct me if I'm wrong.