SKP format comes from SketchUp, so any kind of of skp to something conversion is used for this type of content. When it comes to skp to 3dx conversion in particular, this is export of the content to Rhino 3D format, which is not supported in SketchUp natively.
If you want to or need to transfer the designs between SketchUP and Rhino 3D, you have to either use one of the popular exchange formats, such as FBX, or a dedicated converter. Of course if you have access to Rhino 3D, import of SketchUp seems to be supported.
Updated: October 30, 2023