There is a positive spin of the expression, e.g. the entrepreneur, who has skin in the game of his company via his shares and resources. This scenario (ideally) results in eustress.
However, there is also a negative spin of the expression, e.g. an employee, who has skin in the game by being afraid of losing his job. Usually, this leads to distress over the long term.
Hence, if I want to employ someone I face a dilemma: the employee should have skin in the game, but it shouldn't create distress. There's a huge set of options you can go with as the employer, but I wonder if there is an optimal solution.