I was surprised by this weird limitation as well. However I found its easy to workaround -- I made my CI checks provide the skipped status when they run on the PR, and then provide the success/failure status when they run on the merge-queue branch.
Then the task "Whatever" can be added as a required status check, and "skipped" is good enough to allow it to function on the PR side while it actually executes on the merge queue.
In a GitHub Action, this is was very easy:
Then the task "Whatever" can be added as a required status check, and "skipped" is good enough to allow it to function on the PR side while it actually executes on the merge queue.