No, they won't ask for the skill again since new learned skills of a unit are BR bound (ie Baulson learns Remedies at BR18).
On the PC version you can always select "Yes, learn the skill" and deactivate the skill(and their corresponding arts) afterwards.
I do not own the 360 version but I guess it's somewhat trickier, since you cannot deactivate skills there. This could be a problem in mixed unions (combat+magic) where heavily melee specialized units will use low lvl mystic spells (which only do a small amount of damage) if you command those unions to attack with mystic arts. Also I believe statgrowth after the fights is dependant on which arts the units used, so I guess it could hurt character progression when something like the mixed union-problem mentioned above happens.
I'd advise the following
PC: Say always yes to them, deactivate skills you don't want them to use.
Xbox360: Make sure the skill fits into the planned progression for each unit and then decide if they should learn it or not (ie Nora learns hexes at BR33 or 34, I cannot imagine letting her use it since I want her to be full combat, so I deactivated the skill on the PC version, I would say no to her on the 360)
In both versions units should always learn: Herbs(reviving, heal)
Potions(it's better to have units use a potion for statbuffs than just letting them do nothing during turns in which you have to heal/heal others/revive)
Lotions(clear poison/silence/paralyze, heal, revive)
Remedies(heal, revive, clear statdebuffs, clear ailments, statbuffs)
Wards(defense against magic- and physical damage; decoy, morale boost and statbuffs if you go deeper into the tree)