As far as I understand 4th edition, they wanted to have all effects working on all enemies, to avoid situations in which you lose too much effectiveness due to resistances.
I'm 99% sure that there is no blank immunity for undead against mind affecting spells/sleep/etc.
I don't see any problem here - undead have animus in 4th ed, sleep is affecting animus,
original monster/humanoid from which skeleton was created was sleeping, so animus 'remembers' the idea of sleeping.
I think that sleep works also on the races which never sleep (some kind of fey/elf/eladrin?). So even elven skeleton will happily take a nap if enchanted.