The skin files are being looked up as "internal" files. On Android, this will look through the Android asset directory and CLASSPATH, but with the Desktop backend, only CLASSPATH will be searched.
To be consistent with the way things generally work in Libgdx, create a directory called assets next to the src and libs directories in your desktop project. Then put your ui directory inside assets. This isn't strictly necessary (see below) but will make your project a bit more compatible with other Libgdx code and projects. With an Android project the desktop assets directory is normally linked to the Android assets directory, but without an Android project you should create a regular directory.
If you used the Libgdx Libgdx "setup tool" the desktop project's assets directory should already be on the CLASSPATH. If not, you will also need to add this assets directory to your CLASSPATH: Right click on the project -> Properties -> Java Build Path -> Source tab -> Add Folder ... -> Select the assets directory.
To be clear, if you don't want to mirror the Libgdx conventions above, you just need to make sure the directory containing your skin files is on the CLASSPATH, then they will be found as "internal" Libgdx files (for example, you could add the ui directory directly to the CLASSPATH, and then look the files up without the explicit ui/ prefix).
