Super cool, Luis! Many graces!
This worked:
SELECT   candidate_id, first_name, last_name
FROM    Candidate AS c
WHERE   (NOT EXISTS
          (SELECT   1 AS Expr1
           FROM    Candidate AS ci CROSS JOIN
                   Skill AS s LEFT OUTER JOIN
                   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 (@prmSkills))))

Then the parameter, @prmSkills is multi-valued -
SELECT   skill_id, skill_name
FROM    Skill
ORDER BY skill_name

Works a champ!