Is it bad to skip a lot of suggested edits?
No, it's perfectly fine to do so. Better to skip a post in the review queue than to approve a bad suggested edit / reject a good one. Just review the ones you feel confident about.
Or is it considered bad and does the system penalise this?
No, the system doesn't penalize skipping posts. The FAQ explains the "skip" option:
The queues have one consistent option, though — the "skip" option. This permanently skips the post (you won't see it in the same review queue again, unless you pull it up in your review history) and is useful if you're not sure what to do.
The only effect it has is that you won't get to see the skipped post again. No penalty (but also no reward, i. e. no completed review).