Yes this does happen. What you must do is remove the skirmishers from the group that they remain in in after you take out the Inf.

So, select the skirms and hit 'group' key twice, to delete then reform unit.

Its wierd, stuff in RTW can be controlled several ways...at the same time. This is especially cumbersome when remapping hotkeys. A good and bad thing, just gotta be aware of it.