As mentioned in a few of the writeups, Skynet is a paradox (it is never invented in the timeline).
What they fail to mention is that Skynet HAD to send back the original Terminator in order to be created. In fact, given the information available it is almost certain that Skynet would HAVE to have been aware of the fact the first terminator that it sent back would be destroyed.
But that leads to another paradox. Clearly, Skynet lives in a physics model where the future (and the past) cannot be modified. That is, all time travel does is ensure that the present (from the time travelers perspective) does not change. So Skynet is wasting resources sending terminators back in time. If one of them had suceeded, Skynet would not be fighting the resistance leader in the future.