Yes, changing to a through the wall skimmer is as easy as cutting a hole, however, due to having to lower your water level, I would wait until you are ready to close this year or ready to open it up again next year. I would actually wait until next spring, this way, your water level is allready low enough, you'd need to fill anyways, you can then do any leak troubleshooting immediately instead of letting it all winter before you refill your pool.
If the pool company used the return hole that came with the pool, I would hazzard to guess that the knockout is close enough to the equipment in order to be used.
I have absolutely no idea why the pool store would tell you you're asking for trouble changing the skimmer.....
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