Yes, he was trying to shield Skyler, and yes, he's also capable of monstrous behavior. Dear Internet: It's not a binary. Both of those things can be true. All of the above can be true, and I've just scratched the surface. As Emily Nussbaum wrote, the genius of that scene is that so many different readings of it are possible, and the ways in which those meanings and reactions collide and even contradict each other are fascinating.
Here's one more idea to put on the pile: A big part of the reason Walt was willing to let Skyler off the hook is because, in the scenario he laid out on the phone, he got to see himself as the winner. In that phone call, he had the upper hand (she would have gone along with anything to get Holly back), and he used it to get her to go along with him (again). But more importantly, the story he spun didn't just lead the police away from Skyler, it made them look like impotent losers who couldn't catch him. He turned the situation into a "win" by creating a useful narrative spun from things he really did think and feel.
Think about how much of the call served the mythology he most wants to believe: By telling the authorities he'd done all those things (and most of what he said was morally or actually true), he got to leave town as the diabolical, crafty Heisenberg. He was okay with Skyler potentially getting off scot-free because the storyline he pitched -- "I built this. Me alone" -- made him look like a criminal genius. And in assenting to his plan -- one of many, many things Skyler did in that phone call -- Walt got to control the narrative. She knows it's not true, but it doesn't matter. He got his way. Again.
