So, if Horrors are all intertwined with bad juju and emotions and shit, it begs the question...

...who would win in a fight between the Horrors and Skynet?

Horrors hands down because Skynet is utterly defenseless magically. That said you are right in as much the horrors would care. They'd likely show up and say "Jiminy that would be a long hard fight for nothing, let's wait until we can get back to that plan with those elfs and lizards". So in the sense that sense I guess skynet could "win" by virtue of costs/benefit analysis.