Apparently the key was to use "$skin = $wgUser->getSkin();"...
Correction; apparently the key was to use $this->set('catlinks', $this->getCategories()); inside the execute() method.
I've updated the example accordingly: http://www.mediawiki.org/wiki/Manual:Skinning/Example
(I'm still composing my skin, that's why didn't notice this omissions before.)
-- F.