Disclaimer: Not a duplicate of MCPE-37926 Neither a duplicate of the duplicates.
How to reproduce:
1-Change your skin to Steve/Alex
2-Change from steve to custom skin
3-Press Confirm
4-Check if your skin is applied, If so Rejoin.
5-Your skin is now a Steve/Alex. (Looks like it matters if you changed from STEVE or ALEX)
List of successful Reproducers:
@unknown
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Also experiencing this since 1.11 custom skin does not save and instead reverts to marketplace skin I chose

@unknown Please vote for the Report if you have this problem.