It's wrong. Whoever told you that is probably thinking of
Electrolyze (or something similar), where you
can choose Spellskite as a target to stop the 'skite from protecting whatever else you targeted.
The key difference between those two cases is this rule:
114.3. The same target can’t be chosen multiple times for any one instance of the word “target” on a spell or ability. If the spell or ability uses the word “target” in multiple places, the same object, player, or zone can be chosen once for each instance of the word “target” (as long as it fits the targeting criteria). This rule applies both when choosing targets for a spell or ability and when changing targets or choosing new targets for a spell or ability (see rule 114.6).
This basically means that you can't say you're choosing two targets for your
Rolling Thunder (because you want to get around
Misdirection, let's say), but both of them happen to be the same creature. Doesn't fly. The word "target" is only used once, so it's not legal to have the same thing as that target multiple times.
While this rule may make you less happy when facing
Misdirection, it will make you more happy when facing
Spellskite, because if you
Rolling Thunder, targeting some other things
and Spellskite, Spellskite can't change the other target(s), because it's not legal for that single use of the word "target" to refer to the same thing multiple times.
Flesh//Blood doesn't get to share in the fun because it uses the word "target" a bunch of times rather than just once, so it's perfectly legal for every single one of those targets to refer to Spellskite. (Except the graveyard one, and the you-control one if it's not your own Spellskite.)