"Roll for initiative" is pretty close to "this is combat."
Or, put it another way, is there ever a point in the game where you are in combat and don't know it? Can you ever have hidden combats?
Interesting thought process.
Surprise attacks might qualify. Interestingly initiative also applies to "combat" where there are no opponents, only traps, etc. So initiative is certainly valid when there are options besides combat.
In a combat focus "roll for initiative" only happens once one side or the other chooses to escalate the situation to violence.
But the DM still isn't literally announcing "you walk through the door and into combat".
How do you suggest the DM should "announce" challenges? And how do you suggest they do so without making everyone think in terms of only skills?
So why hide skill challenges? After all, the player is going to know that he's in a skill challenge as soon as he rolls and doesn't achieve his goal with a single roll. So, again, why hide it in the first place?
Player: "I try to find the glade, I contact nature spirits using Arcana to tell me where the glade is."
DM: Ok, you contacted the spirits, but, their directions are vague, you think you're getting closer.
Player: Ahh, ok, skill challenge time is it?
In a combat situation, you know that you're in combat as soon as initiative is rolled, and, usually, after the first round, you probably have a decent idea how easy or difficult this combat is going to be. At least in general terms, although there can always be surprises of course.
"Invisible" and "hide" aren't the same thing. I don't seek to hide Challenges, or combats. I do seek to make the demarcation of each less obvious and more a result of the players' actions, more a part of the story.
It's like Wik says, making the whole thing a series of naturally flowing events and interactions. And as soon as I announce "this is a skill challenge" I break that flow and I break suspension of disbelief and I make my players focus on metagame aspects of play.
BTW I don't like your example. Try this instead.
Cleric: OK well we are going to need that sacred balm, then. How do we find it?
DM: *shrugs*
Rogue: Since we are in town I'll ask around discreetly and see if anyone knows anything.
DM: Roll streetwise.
Rogue: 17+11, that's a 28.
DM: You find an wrinkled and half deaf old man who recalls legends that a shrine somewhere in the wilderness to the east holds the balm. You have to listen to his ruminations for quite some time and ply him with food and drink at a whopping cost of 5sp... Will you pay that?
Rogue: Gladly.
DM: To cut a long and, for the rogue, mostly boring story short. There is a shrine somewhere in the eastern wilderness that opens once a year, when the light from the first full moon of spring falls upon it's keystone. The balm is located somewhere within this shrine. He's a bit hazy on the exact location but he is able to give you a rough idea of how to get there.
Rogue: OK I meet up with the others and tell them what I found. What do you think guys.
Paladin: It's just started spring, right? How long to the first full moon.
DM: Less than a week.
Paladin: I think we better get moving!
Insert general agreement, the party getting ready to leave town, etc... This is where the Challenge actually starts, but it's a blurry line...
DM: And so you leave town and head roughly eastwards... Soon the road heads north, rather than east and the landscape become wild, untamed. There are roads, just game trails and winding paths. Progress will not be straightforward.
Paladin: What about the directions from the old man?
DM: They are pretty vague and... Of questionable accuracy.
Paladin: Any ideas guys?
Ranger: Well I'm a woods-ey, outdoors-ey Ranger. Can I figure out how the directions might fit the environment?
DM: Sure, make a nature check.
Ranger: 21?
DM: (makes a tick on a scrap of paper - 1 success) You are pretty sure you'll need to go through the pass between two mountains you can see... Probably a bit over a day's travel from where you are.
Barbarian: Let's go!
Fast forward through camping overnight and it's associated assassination attempt and combat...
DM: So without further incident you approach the point where the two mountains meet and, sure enough, there's a pass.
Paladin: Do we go through it?
Ranger: Can we go around the mountains instead?
DM: You could try, but it will take days.
Rogue: And we only have a few days to the full moon.
Paladin: Bah! Don't be weak! Let's go!
Insert usual PC discussion here, but they end up going through the pass...
DM: The way is pretty clear for several hours... Until you reach a place where a huge crevasse cuts across the pass.
Sorcerer: How wide is it?
DM: A couple hundred feet.
Sorcerer: Can I fly over it?
DM: Well Sorcerous Sirocco wouldn't normally allow that, it's way too far. But this is outside combat and so you can focus carefully on it and on only yourself flying. You might need to carefully focus your arcane abilities on this, but you could try.
Sorcerer: (gets excited) Guys, I could fly over holding one end of a rope!
The DM might include a modest Arcana check here but is essentially going to allow the Sorcerers creative use of powers to accumulate a success...
Will the PCs make it across the crevasse? Will they reach the shrine in time? What more will happen when they camp tonight? Tune in next week!
What does it add to the game to hide the fact that you're in a skill challenge? The players are going to figure it out pretty much instantly anyway, and if they don't, they're going to be frustrated because they are not getting the results they expect from their skills.
What does it add to announce Challenges? It breaks a lot of things and creates ugly play and story.
Where is the point in my example above where a player instantly realizes they are in a challenge? Where are their skills not producing the results they want? Where is the frustration caused by that?
Making sure the players are invested in the scenario is just basic DMing advice. Of course it's true. But, just because I want to find the princess won't automatically make me care about your skill challenge. Instead, I'm likely to be frustrated because now I have to play Mother May I with the DM. Am I in a skill challenge or not? If I make this check, will it get the results I expect? What would be the best choices for me to make?
If the Skill Challenge is irrelevant it shouldn't be there! It needs to be part of the flow of the game. If you want to find the princess then the skill challenge is part of that. If it's framed right and used primarily as an accounting tool you won't know it's there and you won't need to.
Instead you'll be part of a story. You'll go into situations and spend resources to try and achieve a result you want. You'll make a check and get the result you want or not. And that will lead you on to another situation. Where you will also take some action, spend some resource, to try to achieve a result you want. You'll roleplay, you'll problemsolve, you'll commit larceny and assault as you see fit.
The mechanic doesn't drive that. It's simply a way for the DM to track your overall progress and figure out where you end in the story - in a success scenario or in a failure scenario. Which then lead into the next bit of the story.
Like I said, it's not about just going straight mechanical. That's boring. "Hey guys, skill challenge time, X successes needed, start rolling" would suck. But, "Hey guys, you are trying to do X, what do you do? Ok, that gets you a little way there. Ok, little more, ok little more..." sucks as well.
I trust my players more than enough to know that they can take the mechanical aspects and weave them into the ongoing narrative without me trying to hide it from them to somehow magically make them start "roleplaying".
Cool. I'm glad that works for you.
The fact is I discuss pretty much everything with my players. Including changing playstyle in ways I personally dislike. Such as putting all the monster stats out where everyone can see them. They prefer monster stats not to be out in the open. And they enjoy Challenges that are used as accounting tools much more than Skill Challenges that are a menu driving play.