Maybe this is a simpler solution:

SELECT *
FROM dbo.Candidate AS c
WHERE c.candidate_id NOT IN(
        SELECT c.candidate_id
        FROM dbo.Candidate AS c
        CROSS JOIN dbo.Skill AS s
        LEFT JOIN dbo.CandidateSkills AS cs ON c.candidate_id = cs.candidate_id AND s.skill_id = cs.skill_id
        WHERE cs.candidate_id IS NULL);


It could be used with an additional condition to get specific skills

SELECT *
FROM dbo.Candidate AS c
WHERE NOT EXISTS(
        SELECT 1
        FROM dbo.Candidate AS ci
        CROSS JOIN dbo.Skill AS s
        LEFT JOIN dbo.CandidateSkills AS cs ON ci.candidate_id = cs.candidate_id AND s.skill_id = cs.skill_id
        WHERE cs.candidate_id IS NULL
        AND ci.candidate_id = c.candidate_id
        AND s.skill_id IN(1,2,4)); --This could use a multiple valued parameter from SSRS