But then Skynet becomes like an undefeatable slasher movie killer.

Oh, we assume Kyle Reese's "we won" is still valid. But given timeline changes...not so. IIRC, the "Arnold" Terminator in T3 is the one who kills Connor; it was reprogrammed after the deed. So that puts into doubt what Reese said.
Does he kill Connor before or after Skynet is defeated? I don't remember T3 all that well.
So, when it seems like the baddie wins regardless...what's the point besides shoot-outs and car chases? (Yes, I know, mindless entertainment.)
Got it in one.

But beyond that--a comment on the human condition? Our hopeless yet gallant struggle against inevitable death--the foe that even the mightiest warrior cannot defeat? The need to fight the good fight, finish the race, keep the faith, and avoid despair?
One could argue that the whole Terminator mythos has deeply Christian roots. Skynet is sin, and the world it creates is death. The terminators are Satan, prowling about like a roaring lion seeking whom he may devour. John Connor is a Christ figure, the savior of humanity, and his mother Sarah a sort of Virgin Mary: the first terminator's killing spree was a sort of massacre of the innocents.
I guess that would make future-John God the Father, and Reese the Holy Spirit. Or the Archangel Gabriel. Or something. Anyway, you get the idea.
From this perspective, the inability to prevent Skynet from happening would represent our fallen nature, our inability to save ourselves by our own righteousness, and our need for Grace.