If you are asking 1 skylight to cut a hole in more than one roof plan, this is not possible.
Request?Yes
In the meantime as you have probably discovered the workaround it to manually create a hole in the other roof plane(s).
Erika
Architect, Consultant
MacBook Pro Retina, 15-inch Yosemite 2.8 GHz Intel Core i7 16 GB 1600 MHz DDR3
Mac OSX 10.11.1
AC5-18
Onuma System
"Implementing Successful Building Information Modeling"